Prior to troubleshooting your Analysis Services 2005 configuration to "build" your Project Server Cubes, I'll assume you have read the following KB article: 921116
During the CBS you get the following error: "Error: ActiveX component can't create object"
-> Install the following SQL Server 2005 SP1 components:
1. Microsoft SQL Server Native Client (sqlncli.msi)
2. Microsoft SQL Server 2005 Management Objects Collection (sqlserver2005_xmo.msi)
3. Microsoft SQL Server 2005 Backward Compatibility Components (SQLServer2005_BC.msi)
DSO section in Analysis Services configuration file is malformed
The msmdsrv.ini is typically located in the following directory: C:\Program Files\Microsoft SQL Server\MSSQL.2\OLAP\Config, once you edit the file use a proper XML editor to ensure that are no carriage return; and no white space are present so that it's a properly formatted XML file.
Ensure the proper sharing permissions have been set on the share DSO9 folder
If you are using NTFS make sur both the user account used fot the CBS has been added to the Permission and the Security sections.
N Tier Deployement
If your EPM 2007 deployment contains multiple servers (front end with PWA and back end with SQL DB for instance) you'll have to use a domain account on the to configure the access the to AS repository. You'll also have to deploy the DSO components listed earlier on each from end server for it to communicate to the back end DB server.
Ensure the account used to connect to the CBS has access to AS