Raj has already answered the initial question... You need users to be set up with at least read access to your SSAS instance.
However, the error "Cannot connect to server" does not necessarily mean it's an authentication issue, it actually doesn't mean much. I've seen this error on Excel 2007 on various occasions, where the underlying error could be anything, this is just a generic error from Excel.
Several aspects that caused problems on my end were (things to check):
User has access to the web site (if not using anonymous auth)
ADOMD and OLEDB for Analysis Services are installed locally (correct version)
User propagated to SSAS has read access to instance (are you using ApplicationPoolIdentity?)
Handler mapping (script mapping for *.dll) is set up
For a complete guide of how to set up HTTP access for SSAS check:
Microsoft - Configure HTTP Access to SSAS via IIS
Cheers