I spent about an hour on this issue today so thought to jot it down here to save someone else's time.
I had a new installation of Microsoft SQL Server 2008 and tried to connect to Analaysis Service using Microsoft SQL Server Management Studio. But the only options I could see in the drop down list in the "Connect to Server" dialog were "Database Engine" and "SQL Server Compact Engine".
Verified that "Analysis Services" and were running and whether the port was allowed in Windows Firewall but everything seemed to be fine.
Then I decided to repair my installation to see if I have missed out on any feature and yes that was certainly the case. From the features option, there is an option to install "Management Tools - Basic" and there is an option to install "Management Tools - Complete". I had it installed with Management Tools Basic and that is why I couldn't see all the options.