Beware of migrating SQL Server 2008 Analysis Services databases from a server that had an upgrade from SQL 2005 to one that has a clean install of 2008 - with no previous 2005 install. What you'll find is that the connection string information in the upgraded database will still be using the 2005 SQL Native Client provider; SQLNCLI.1. This is fine on a box that has this provider of course - ie one with a previous 2005 install. However a clean 2008 install won't have this version and you'll get a not terribly informative 'Class not registered message' when you try and process it - as I found out.
The solution is very straightforward - change the connection string in the database's data source to use SQLNCLI10.1 instead of SQLNCLI.1.
More information can be found here