A short post to link this article: Configuring HTTP Access to SQL Server 2005 Analysis Services on Microsoft Windows Server 2003. (UPDATE 2018-01-28: the old link no longer works, now there is a new article on Microsoft Docs: Configure HTTP Access to Analysis Services on IIS 8.0).

Very useful: I haven’t found a clear description for this task in Books On Line (but, we know, beta documentation is not complete).