We came through from Mali (Nioro) early February. Although we had our Visa (got them in Bamako) we were told it was possible to get them at the border as well. My impression of the Mauri border is that everything is possible as long as you pay. Quite corrupt bunch. Even with the Visa and all the paperwork in order I had to negotiate for half an hour with the border police and almost an hour with the customs guy in order to avoid paying bribes.
It worked the other way around at the Mauri embassy in Bamako: First "quotation" for the Visa was very high, ca. 45 euros. I had read that a transit visa was possible in Senegal for something like 15 euros. After some negotiation, the nice lady gave us the same price. Impression: The embassy can pretty much charge what they like.