7. A computer-readable storage medium storing computer executable instructions for consolidating OLAP queries, comprising: accessing a client spreadsheet on a client computing device containing a displayed structured report that includes a display of selectable page filters with the displayed structured report that restricts the data that is displayed within one or more cell of the data grid of the structured report without affecting row and column headers of the structured report; wherein the client spreadsheet is displayed on the display of a client computing device; wherein the structured report is connected to at least one data source and comprises a layout and regions that comprises a row axis, a column axis, a page filter axis and the data grid including said cells, wherein the row and column axes define a structure of the report and the data grid is formed by the cells where the axes intersect, wherein each axis more comprise one or more segment that contain one or more members from a dimension; examining each axis within the displayed structured report to determine the data to be retrieved from an OLAP cube; generating a plurality of Multidimensional Expressions (MDX) queries, wherein each generated MDX query is associated with an axis that references data within the OLAP cube without sending the query to request data from the OLAP cube; on the client computing device consolidating each of the plurality of generated MDX queries into a single MDX query to create a consolidated MDX query; and sending only the consolidated MDX query from the client computing device to retrieve the data.
7. A computer-readable storage medium storing computer executable instructions for consolidating OLAP queries, comprising: accessing a client spreadsheet on a client computing device containing a displayed structured report that includes a display of selectable page filters with the displayed structured report that restricts the data that is displayed within one or more cell of the data grid of the structured report without affecting row and column headers of the structured report; wherein the client spreadsheet is displayed on the display of a client computing device; wherein the structured report is connected to at least one data source and comprises a layout and regions that comprises a row axis, a column axis, a page filter axis and the data grid including said cells, wherein the row and column axes define a structure of the report and the data grid is formed by the cells where the axes intersect, wherein each axis more comprise one or more segment that contain one or more members from a dimension; examining each axis within the displayed structured report to determine the data to be retrieved from an OLAP cube; generating a plurality of Multidimensional Expressions (MDX) queries, wherein each generated MDX query is associated with an axis that references data within the OLAP cube without sending the query to request data from the OLAP cube; on the client computing device consolidating each of the plurality of generated MDX queries into a single MDX query to create a consolidated MDX query; and sending only the consolidated MDX query from the client computing device to retrieve the data. 8. The computer-readable medium of claim 7 , further comprising: using the consolidated MDX query to request data from the OLAP cube.