Eric Lee posted a great video on how to create KPI's from the Team Foundation Server warehouse.  Apart from being a great tutorial on how to create new measures for TFS for your organization, I've found this to be a quick and dirty tutorial for creating an Analysis Server project in Visual Studio 2005.  I'm sure there are other good ones out there, but coupled with my interest in TFS, this really helped to get a handle on creating a new cube.  You'll need at least the SQL Server BI portion of Visual Studio if you want to follow with Eric, and also having access to the TFS warehouse is helpfu.