Qazafi,
Yes, you can do that, but it isn't as easy as it should be. In short, you'll create a standard action with a type of CommandLine. Then, you'll build a string that evaluates to a valid command line. If your exeuctable is named foo.exe and you want to pass a customer paramater into it using a "/cust=<customer number>" switch, then the action expression might look like this:
"foo.exe /cust=" + [Customer].[Customer Geography].[Customer].CurrentMember
The reason it is not as easy as it should be is because CommandLine doesn't show up in BIDS as a valid action type. Check out this statement: You must use Analysis Services Scripting Language (ASSL) or Analysis Management Objects (AMO) to define HTML and Command Line action types. For more information, see Action Element (ASSL), Type Element (Action) (ASSL), and Programming AMO OLAP Advanced Objects. From http://msdn.microsoft.com/en-us/library/ms175345.aspx.