Compare Validate TSQL Data Warehouse to SSAS
If you wish to run MDX within SSMS then I believe OPENROWSET is your only option. Read about it carefully as there are some permissions/configurations that you must change to enable it, and they may affect your security.

If you do not have to use SSMS then you could use any programming language that can call the database drivers which communicate with SQL Server and OLAP, such as ADOMD and ADODB. You mention C# which would be perfect - use Microsoft.AnalysisServices.AdomdClient namespace. Or even a simple VBScript file could work if you want a quick and simple solution on Windows, just for short-term testing.