Windows Setrver 2003 XMLA Configuration

I'm using ADOMD .net to work with XMLA to reach an OLAP Server
I'm trying to get xmla working on 3 Windows Server 2003 machines, here
is the error I'm getting on all of them

Because the user cannot be identified, the session cannot be
used.Microsoft.AnalysisServices.AdomdClient.AdomdErrorResponseException:
Because the user cannot be identified, the session cannot be used. at
Microsoft.AnalysisServices.AdomdClient.XmlaClientProvider.Microsoft.AnalysisServices.AdomdClient.AdomdConnection+IXmlaClientProviderEx.DiscoverWithCreateSession(String
requestType, Boolean sendNamespaceCompatibility) at
Microsoft.AnalysisServices.AdomdClient.AdomdConnection.RetrieveSchemaRowsets(Boolean
createSession) at
Microsoft.AnalysisServices.AdomdClient.AdomdConnection.ConnectToXMLA(Boolean
createSession, Boolean isHTTP) at
Microsoft.AnalysisServices.AdomdClient.AdomdConnection.Open()

I'm using this connection string
<add key="ADOMDConnection" value="DATA
SOURCE=http://localhost/xmla/msxisapi.dll;Catalog=mycatalog;";></add>

using the provider name in it doesn't make a difference;
I have configured the datasources.xml to receive http connection, added
the datasource I need into it.

I have also enabled the Web Service extension for msxisapi.dll, Cannot
find instructions anywhere to help me with this problem.
Anybody encountered the same problem anywhere else? Anysuggestion would
be greatly appreciated. Thanks

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