Start with a good book (say,Ralph Kimball's The Data Warehouse Lifecycle Toolkit : Expert Methods for Designing, Developing, and Deploying Data Warehouses ) to understand "how-to" and then read tutorials/samples from BOL.
Maybe you should consider to post this question in Analysis Services dedicated forum but, as Jamie Thomson (Life, the universe etc.. :-) ) said, your question is a bit "wide-ranged".
Relational to DataWarehouse?
Dahl Berg
avrilsim
(!!!)
-Jamie
arindam_