Arrrggh - Linked Server issue

Help! I can't seem to get the permissions right on my linked server. I keep getting this error:

Msg 7399, Level 16, State 1, Line 1

The OLE DB provider "MSOLAP.3" for linked server "DW" reported an error. Access denied.

Msg 7350, Level 16, State 2, Line 1

Cannot get the column information from OLE DB provider "MSOLAP.3" for linked server "DW".

Here you go: http://support.microsoft.com/kb/925869

Edward.
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Thank you. That helped. Now when i query using a SQL Server user (non-windows) I get this response:

OLE DB provider "MSOLAP" for linked server "DW" returned message "An error was encountered in the transport layer.".

OLE DB provider "MSOLAP" for linked server "DW" returned message "The peer prematurely closed the connection.".

Msg 7303, Level 16, State 1, Line 1

Cannot initialize the data source object of OLE DB provider "MSOLAP" for linked server "DW".

I noticed in the profiler that the user who is connecting is anonymous logon and I turned the required auth on AS off, but I have no idea what permissions are needed to allow this to work.