Has any one setup Report Server ( 5.3.2) to access data cubes that are on an Analysis Services box via HTTP?

The HTTP access is on port 80 and works via a file called msolap.asp that is on an IIS box.

My problem is that 'Anonymous access' works just fine; I am able to see the cubes and build synonyms. But if I turn on 'Integrated Windows Authentication' then I get the message 'No Cubes Found'.