If you try to create an Analysis View in Project Server and you get the error "Unable to connecto to server" check you have configured the following in Internet Explorer
1) Make sure that "Access Data Sources Across Domains" is enabled in
IE security settings for the zone of the Project Server.
2) Make sure that "Microsoft Office Web Components" & "Microsoft SQL Server 2005 Analysis Services 9.0 OLE DB Provider" are installed on
the client computer.
See the section "Requirements for building and viewing cubes in
Project Web Access" in this document for more details:
Comunidad Windows - Costa Rica