How to fix "The OLE DB provider "MSOLAP" has not been registered"?
The SQL Server Analysis Services drivers aren't actually installed as a part of the normal SQL Server installation unless you install SSAS on the server.

You can download the MSOLAP driver from the SQL Server feature pack and install it.  Then you can create the linked server.  Don't forget to install the 64bit install if you have a 64bit SQL Server or the 32bit if you have a 32bit SQL Server.