I have tried this in .NET
Dim ConnectionString As String = "Provider=MSOLAP.3; Data Source=localhost;Initial Catalog=OLAPDB;Integrated Security=SSPI"
MDX
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Dim SelectQuery As String = "Select NON EMPTY [Dim Product].[Name].Members ON Columns,NON EMPTY [Dim Executives].[Hierarchy].[Territory] on Rows From [TESTCUBE] "