Odoo is the world's easiest all-in-one management software. It includes hundreds of business apps:
CRM | e-Commerce | Accounting | Inventory | PoS | Project management | MRP | etc.
If you have only one shop, it means you have only one point of sale.
This point of sale should be linked to one and only one warehouse. So, in this situation, you do not need multiple warehouses. If, according to the orders of your shop, you need to deliver from different warehouses then you will need to create several warehouses and several "virtual shops".
Your warehouses are linked to inventory locations (stock, input and output). As location follow a hierarchy structure, you can also define a "virtual warehouse" which stock location is the parent of all the stock locations of the other warehouses. This will allow to link this "virtual warehouse" to your main shop so that OpenERP will compute per order which location he should use from all the warehouses according the product's vailabilities.
Not enough reputation to comment on Fabien's answer, but at least in V6.1 the proposed solution would not work, as it would try to generate stock moves from the virtual stock location, and fail (because this is explicitely forbidden by a constraint in the stock.location model).
Has this changed in v7?