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OLAP (Online Analysis Processing) applications have very special requirements to the underlying multidimensional data that differs significantly from other areas of application (e.g. the existence of highly structured dimensions). In addition, providing access and search among multiple, heterogeneous, distributed and autonomous data warehouses, especially web warehouses, has become one of the leading issues in data warehouse research and industry. This paper proposes a new message interface for a new platform independent data warehouse architecture that can deliver location, platform, and schema transparency for clients that access autonomous data warehouses. The new message interface uses XML in order to provide interoperable way to query and administrate federated data warehouses in addition to compose the multidimensional query result sets.