This should work, assuming Sales is the database name not the cube you want to connect to?
Select oledb as the connection type
this is the connection string I use:
Provider=MSOLAP.2;Data Source=MISServer;Location=Sales;Initial Catalog=Sales;Client Cache Size=25;Auto Synch Period=10000
Then set the login credentials to a windows user with access rights to the cube (test with an olap admin) and select use as windows credentials. Alternatvely select integrated security and each users access credentials will be used. Could also use xmla datasource and store credentials in the security settings for web service.
To access the cube you will need to add the user to a role with access to the cube in analysis manager, you can give them access to the entire cube or restrict it by dimensions/dimension members.
by the way MSOLAP.2 is the daa provider for AS2000, you should use MSOLAP.3 for AS2005 (or the Analysis Services provider)