Everything is ok from the OLAP cube permissions side, as well as the OLAP database side. 

Here is some new info I found out while poking around:

Using AS 2K from...

Ponte - Excel is the front-end tool, with MDX, ADOMD and ADO recordsets driving the drillthrough functionality.

Client's OS is either windows 2K or XP.  I am running 2k sp4 and...

I'm having the same problem, but user was able to use drillthrough in the past.

I am an OLAP admin and am able to access the cube just fine.

I think sp4...