I'm dealing with same kind of problem here. After allowing (exceptions) Analysis Services through the firewall (even though I'm running a standalone laptop), I was able to view the cube dta once but that's all i.e. could not connect after disconnect anymore....
Might have a connection with SP3 for SqlServer/Analysis Services (atleast when running XP/SP2 as I am) but I can't verify that since I haven't been able to install SP3 
(Another thread under Sql Server / Service packs)
Any luck with you?
Ville