Localize in Windows Explorer the directory where the backups will be generated
Right-click to the directory
Select "Properties" in the menu
Select the tab "Security"
Press the "Edit" button
Press the "Add" button
Type the object name under what MS SQL Server Analysis Services is running, usually this account is "NT Service\MSSQLServerOLAPService"
Press the "Check Names" button. If the account could not be verified do the next:
Be sure that it was typed correctly
Verify that the account name under what MS SQL Server Analysis Services is running. This can be found in "Start -> Microsoft SQL Server <version> -> Configurations Tools -> SQL Server Configuration Manager". Make a right-click over SQL Server Analysis Services and verify the Account Name.
Press the "Ok" button
Check the modify/read/write permission to the account