It is possible
Yes, it is definitely possible to get visas at the border - we did it with no hassle at all. The border police are really helpful and friendly - no bribes or anything like that at all.
We crossed at the end of last year (Nov '08) from Senegal at Kidira into Mali.
Since you don't have a visa you will have to go to the police station in Kayes, which is the first main town in Mali. They are really laid back, letting both us and our vehicle into Mali without a stamp. Once we got to Kayes we got our visas and then had both our passports and carnet stamped in.
Can't recall how much it cost I'm afraid, but it didn't strike me as being expensive.
Hope this helps