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Implementing Office Web Component Pivot Tables with ASP.NET » Details about using ADODB and creates a file in real-time
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In order to use the .StreamXML method, you must use the 2.8 version of MDAC which is available at http://www.microsoft.com/data
Your observation about the size of the XML file is well warranted. The XML file will contain only the cellset of the current intersection of the cube that is requested on behalf of the user by the application. While this is not the whole cube, caution must be taken to ensure that the cellset is not large enough to cause disk contention, or slow downloads.
Hope that helps!