When creating a new database it first asks you for the olap server,  this is the server where Microsoft SQL Analysis Services is installed, if you are using Analysis Services 2000 it must have service pack 3 or 4. the database name that you put here should be a new name the database does not already exisit and this will create a new OLAP data cube for you.  once you hit test connection it will give you the option to create, when you hit create it will prompt you for the SQL server, database name and credentials for your Resource Manager database, once you configure that all that needs to be done is the processing of the data.

If you have not yet installed analysis services it can be found on your SQL media, you may want to speak with your dba about installing analysis services if you have not done so yet.