A Analysis Services Project/Cube is developed in BIDS which is light weight version of Visual Studio. BIDS is a tool installed on the Server where the Analysis Services Package development is done by using SQL Server Installation Media by chosing Businness Intelligence Development Studio in Installation features.
From BIDS, if you Go to File>New Project you will see various options for Projects. The project related to Analysis Services Project.
Please follow the steps below Analysis Services Cube using the new Cube Wizard that comes with SQL Server 2008 Business Intelligence Development Studio:
At a later point we will cover Creating perspectives
Last Step is to Deploying the Analysis Services Project