Because you are talking about WSDL, I assume you also intend to use SOAP rather than just plain old XML. Most SOAP frameworks include a utility that parses WSDL and generates client stub and server skeleton code. This generated code automatically serializes your native language types into XML and packages it into a SOAP message. Your application typically doesn't need to work with XML directly. In .NET the utility is called wsdl.exe. In Java, the name of the tool is dependent on the framework you're using, but it's often called wsdl2java, wsgen, or wscompile.
If you prefer, most frameworks also allow you to construct your own XML structures using DOM, SAX, or (in Java) StAX or using an XML binding framework, such as JAXB or XMLBeans.
In no circumstances is it necessary to put an additional web server in between the Java and .NET applications. Both applications are natively speaking XML, and no intermediary is required (unless you want to use one). Keep in mind, though, that the SOAP messages (or plain old XML messages for that matter) are transferred using HTTP, which implies that the Java and .NET applications are both hosted by their respective HTTP servers.
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