For those of you attempting to configure Reporting in Team Foundation Server 2010, you may have the above error if the Team Server is on a different machine than that of your Analysis server. To resolve the issue, install the SQL Client connectivity tools from the SQL Server 2008 installation media.
I’m not the first person to see this: http://social.msdn.microsoft.com/Forums/en-US/tfssetup/thread/e7c81903-6645-40bd-b970-4957cd20de04
Phil Jackson's Blog 