I was asked recently if it is possible to create HTTP msmdpump.dll (Per user identity) connection to an SSAS cube.

Microsoft have produced a White Paper by Edward Melomed, which covers the topic in SQL Server version 2005. However, the architecture is the same in SQL Server 2008, and you should be able to extrapolate from one version to the other.

I won’t repeat Edward’s excellent paper; instead, I’d like to refer you to his White Paper, which you can find here.