In SSMS you can drag'n'drop elements from a list in a textual MDX query (when using the "New query" feature). However, you still got to make up the correct MDX statement in text.

Another option is to "Browse" a cube, here you can use a real GUI, but you can not view the MDX statement in text.

So, what we are looking for is a combination of those 2: create a query like "Browse", and see the MDX statement like in "New query". AFAIK, there is no direct way in 2005, and Vincent pointed out there will be no direct way in 2008 either. :crying: