Solving the “Data Refresh Failed” error message

I’m pretty convenient with SharePoint and MOSS but sometimes get bitten in the rear if I try to do something on autopilot. While working on a presentation about the combination of SharePoint and BizTalk I wanted to insert an Excel sheet in SharePoint to show some BAM data. This is simply a cube on analysis services. After doing all the stuff I normally do I expected all to work but BOOM!: