I am not that experienced with Analysis Services, especially on SQL 2000, but it seems strange that a SQL Agent would have a job that just starts the service. Does the service stop to allow another job to run at that time?

As for your error, it sounds like a file is missing that is needed for the service. Does the .dll file that the error you posted was talking about exist in the location listed in the error? Does the account that is running the job have permissions to that directory/file?