I heard this was going to be possible back in March, but now I've seen it in RC0 - you can now set connection string properties in SQL Management Studio when opening an MDX query window. Just click the new MDX query button, then click Options and you'll see a third tab:
Although it's much less common to need to set connection string properties, there are still a few scenarios where it's useful. One example is the 'Cube' connection string property, which allows you to write session scoped script assignments in the way Mosha does here:
http://sqlblog.com/blogs/mosha/archive/2008/06/08/mdx-answer-to-nextanalytics-challenge.aspx
Another good example is when you're using the Roles or EffectiveUserName properties to test out how queries behave with security.
Source Click Here.
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