Came across this issue when building my cube using SQL AS 2005 with 2010 for the first time;
[7/23/2010 9:28 AM] Failed to build the OLAP cubes. Error: Failed to process the Analysis Services database PS2010TestCube1 on the PRJDBCLUSTER server. Error: OLE DB error: OLE DB or ODBC error: Class not registered.
Errors in the high-level relational engine. A connection could not be made to the data source with the DataSourceID of ‘Project Reporting data source’, Name of ‘Project Reporting data source’.
Errors in the OLAP storage engine: An error occurred while the dimension, with the ID of ‘PS2010TestCube1’, Name of ‘Assignment Owner’ was being processed.
Server: The operation has been cancelled.
Fortunately the solution was not too hard to come by; it seems that you need to install the SQL 2008 Native client on the SQL 2005 server in order to fix this one.
Hope that helps someone!