string machineName =  "localhost" ,
provider =  "MSOLAP.2 ",
initialCatalog =  "myCatalog" ,
lcid= "1049 "; // русская локаль
			
string connectionString =  "Provider="  + provider + 
   "; Data Source="  + machineName + 
   ";Initial Catalog="  + initialCatalog + 
   ";Locale Idenifier="  + lcid;

ADOMD.CatalogClass olapDatabase = new ADOMD.CatalogClass();
olapDatabase.let_ActiveConnection(connectionString);

ADOMD.ICellset queryResult = new ADOMD.CellsetClass();
queryResult.Open(mdxQuery, olapDatabase.ActiveConnection);