string connectionString =  "Provider="  + provider + 
         "; Data Source="  + machineName + 
         ";Initial Catalog="  + initialCatalog + 
         ";Locale Identifier="  + lcid;

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

olapDatabase.let_ActiveConnection(connectionString);

// дальше поскипано

ADOMD.Catalog cat = new ADOMD.CatalogClass();

ADODB.Connection adoConn = new ADODB.ConnectionClass();
try
{
	adoConn.ConnectionString =  "Data Source=localhost;Initial Catalog=" +myCatalog+
 ";Provider=msolap.2 ;Trusted_Connection=yes;Locale Identifier="+lcid;
	adoConn.Open(adoConn.ConnectionString, "","  ",0 );	// Вылетает здесь "

	cat.ActiveConnection = adoConn;

	// Тут поскипано 
	
	// Конец поскипаного

	adoConn.Close();
	GC.Collect();
	GC.WaitForPendingFinalizers();
	GC.Collect();
}
catch(Exception ex)
{
	MessageBox.Show( "exception: "  + ex.Message);
}