Thank you MDXer,
It worked just fine, could you please help me with the following questions.
After successfully creating the roles, I added a user with admin rigths over the Analysis Services box. When the user queries the cube, the result is not filtered by the role. It seems that the Admin cannot be put on a role (yes you can...but), meaning actually that the Admin will not be affected by the role when querying the cube.
Could you please confirm this?
Thank you again
imosri