This article will discuss some of the connection problems you can have when using Analysis Services 2005.
There are several cases to consider:
For fixing building problem (CBS): check Christophe's blog http://blogs.msdn.com/chrisfie/archive/tags/SQL+Analysis+Services+2005/default.aspx and Brian's blog http://blogs.msdn.com/brismith/archive/tags/Analysis+Services/default.aspx
Also don't forget in you Internet Explorer settings to enable "Access Data sources across domains".
When trying to acccess the cube, be sure to have the following components installed on your desktop:
These 2 last components can be downloaded from the SQL 2005 SP2 Feature Pack (February 2007)
http://www.microsoft.com/downloads/details.aspx?displaylang=en&FamilyID=50b97994-8453-4998-8226-fa42ec403d17
If you only have SQL 2005 SP1, check this feature pack (April 2006)
http://www.microsoft.com/downloads/details.aspx?FamilyID=df0ba5aa-b4bd-4705-aa0a-b477ba72a9cb&DisplayLang=en