It’s basically no different from 2005, so follow these instructions, ensuring that (if needed) you download the OLE-DB provider for AS from the 2008 R2 feature pack site, and not one of the vanilla 2008 releases, and also ensuring that don’t mark your app pool as ‘enable 32 bit’.
You may find that the web role services ‘ISAPI extensions’ or ‘Windows Authentication’ isn’t even enabled on your box, and you will need those. You can get these up by right-clicking the web server node:
A good way to test this is to try and connect using Management Studio. If it fails with a ‘unsupported data format’ error, and you put the pump on a different box to the SSAS instance, it’s probably a double hop issue, and you’re going to have to send yourself insane talking to IT about configuring SSAS to use Kerberos authentication, constrained delegation, SPNs and all the normal fun stuff. I feel for you.
I bit the bullet and installed IIS directly on the SSAS box, and got a bit further. A good way to test at this point is to try and connect to SSAS locally using Management Studio, using the http://<server>/olap/msmdpump.dll path. If that works, at least you know the SSAS/IIS end is ok. But then I still couldn’t connect from Excel on my workstation, in a different domain, which was why I was doing all this in the first place.
I used the old ‘create local user with matching login/password’ trick, and ran Excel as that, but that which didn’t work. Guessing the lack of trust between the domains would be a problem I attempted to disable Kerberos and force NTLM (which seems to have changed a bit from how it used to be done on Windows 2003), but that still didn’t work either (IIS logs helped here). Eventually I just enabled anonymous access to the website, changed the app pool credentials to use Local Service (Network Service would have done), granted IUSR access to the cube (this bit I don’t quite follow, why not Local Service?) and finally it all worked. But note that now I was using anonymous access I didn’t need to install IIS at all, since I could have done this from any box. Ho hum.
Finally go and vote for this to be supported out-of-the-box. With all the work that went into separating out the HTTPSys bits (for WCF et al), this should be a total no-brainer.