I am using IIS 6.0 on Windows 2003 in a workgroup, and have created a web which runs in its own pool to connect to a Sqlserver 2005 Analysis Services database using msmdpump.dll. I have set the pool up with its own identity, but when I look on the Analysis Services server using Sqlserver Profiler, I can see that the requests are being made, but not with the Pool identity. They are using the identity of the user signed into the web server.
If you have impersonation turned on in the web app the app will work as the impersonated user not as the app pool identity. Here's a bit about this.