Chris Webb recently blogged about a conversation that a group of us were having where the topic of the Timeout connection string property came up.
Chris asked how I found out about this property. The technique I used is handy for exploring all types of connection string properties, so I thought I would share it here.
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Create a new text document on your desktop.
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Rename it to test.udl (its the extension that matters, the name can be anything you like)
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double click on this file and it brings up a "Data Link Properties" dialog.
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Go to the provider tab and set the provider to "Microsoft OLEDB Provider for Analysis Services 9.0" (or choose any another provider in which you are interested.)

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You can then work your way through the dialog setting connection properties,
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Under the "All" tab you will find and entry for timeout. (along with all the other properties that the selected provider supports.)
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Once you have set all the properties you want, open up the .udl file using notepad you will see a connection string with all the appropriate settings.
This is a great way to generate connection strings and make sure that you have all the settings spelt right. Enjoy!