You want to configure Data analysis Views in an extranet configuration. Here are the steps I did:

• Configure HTTP access to SSAS following the description given here: http://www.microsoft.com/technet/prodtechnol/sql/2005/httpssas.mspx 
• This installation needs to done on the web server, configure http and/or https. Assume the server name is mywebserver.contoso.com and the virtual directory name is olap
• The virtual directory is configured using Integrated Windows Configuration
• In your Data Analysis views: Select Custom Server and enter the following extranet http address: http://mywebserver.contoso.com/olap/msmdpump.dll
• This will complete the data source information in the command and options dialog box of the OWC.
• Or you can put the http address directly in the data source tab in the command and options dialog box replacing the analysis server name.
  This new connection string should look like
  Provider=MSOLAP;Data Source=http://mywebserver.contoso.com/olap/msmdpump.dll;Initial Catalog=MY_OLAPDB;Client Cache Size=25;Auto Synch Period=10000
  instead of
  Provider=MSOLAP;Data Source=ANALYSISSERVERNAME;Initial Catalog=MY_OLAPDB;Client Cache Size=25;Auto Synch Period=10000
  

See the attachment for a screen shot of the configuration

If you have extranet users, it is also important to note that Office Web Components require port 2725 or 2383 to allow a direct connection to SQL Server Analysis Services. Even though access is enabled over port 80 via HTTPS, if port 2725 or 2383 is not available, the dynamic OLAP reports will not be able to access the Analysis Services data.