I have same issue as well, my sample application got data when I use  

<igOlap:XmlaDataSource x:Key="DataSource" 

                                 ServerUri="http://sampledata.infragistics.com/olap/msmdpump.dll&quot;  >

 </igOlap:XmlaDataSource>

like this, but when I change sampledata.infragistics.com to localhost it's not getting any databases.

I'm using SQL 2005 with VS 2010.

Do you have any suggestions?