The ascmd utility ships as part of "Analysis Services Administrative Samples" in the SQL Server 2005 Samples. The SQL 2005 Samples can be downloaded from here:
What can be confusing is that all of the Samples ship in source code; not binary executables. If you want a runnable version of the ascmd utility, you need to compile it using either Visual Studio or the .NET Framework SDK. The ascmd readme.html file has complete instructions on how to do that. It is also covered in the BOL entry for ascmd.
While this seems like a problem -- it is actually a good thing. It means that we were able to distribute the utility in source form. This means that if you'd like to customize ascmd you can do it yourself without getting Microsoft involved -- although I'd love to hear about what you've done so I can improve the utility in future versions. Contact me directly (firstname.lastname@example.org) if you have many any changes, or if you have suggestions on how I can make it better in future versions.
_-_-_ Dave Wickert