Problem with Pivot table Connecting to SQL 2005 OLAP
 

When trying to connect to a SQL 2005 OLAP service from Excel 2003 the
following error message is displayed.

Unable to open connection.
Cannot connect to server 'mysql2005'.
OLAP server error: The operation requested failed due to network
problems.

I am logged in with an account that has administrator privilages on the
SQL Server.

Does this require some additional components for Excel 2003 to be able
to connect to SQL 2005 OLAP?