The analysis services database is not created by setup. It's created from the ax client. To create it, first, from the tools menu, under the BI commands, run the command for Analysis Servers to bring up the form for picking which server should be used to create the analysis services database. Run the File->New menu on the form. Specify your Ax partition name in the first column (the value is usually 'initial'). In the second column specify the name of your analysis services server. Set the Default column to true (that means AX will connect to that server for any ssas based reports and for any enterprise portal web forms that need an analysis services connection.. It doesn't matter what you put in the Description column.
File ->Save (or control S) to save the record.
Off the Tools menu, under the BI submenu, run the command SQL Server Analysis Services Project Wizard. Choose the deploy option. The next page will have you select the database to deploy. Select 'Dynamics AX' from the 'Select project from AOT' drop down. On the next page make sure the Deploy column is checked for your partition, and uncheck it for any other partitions. Also check the Process option at the bottom of the screen. Click next and wait for it to process.
P.S. Analysis Management Objects needs to be installed on the client machine to deploy the analysis services database. If you get an error message about not being able to load amo, then it hasn't been installed yet. There should be a download for it on Microsoft.com/downloads. Pick the version for whichever sql server version you are using.