OLAP Connection Problems

I have two systems setup with SQL Server 2000 + Analysis Services. Both servers have been patched with both SP3a patches.

I wrote a trivial command line app that tests connection strings through ADO.

On each system, I can connect locally perfectly using the connection string:
"Provider=MSOLAP;Data Source=localhost;Initial Catalog=FoodMart 2000"

However, once I change "Data Source" to refer to the other system, the call to ADODB.Connection.Open throws a "System.Runtime.InteropServices.COMException" with message: "Unspecified error". (The simple app is written in C# and talks to ADO through Interop)

I've tried referencing ADO 2.1, ADO 2.5 and ADO 2.7
I've tried a "Provider" of "MSOLAP.2" as well as just "MSOLAP"
I've also tried a variety of different connection strings with many different permissions settings.

It is very frustrating to get an absolutely generic error message.

Any ideas?

Thanks in advance!