Integrate an API to .exe application

Hi guys,

I'm pretty new here, i have learned python, c++, Java, Visual Basic, and a few other common languages for about 3 years now.

My new project is I want to integrate an API (let says UPS here) into my custom app (.exe app).

I want to be able to pull my customer's data from my database and dump it to this UPS integrated app to print out a shipping label (I know UPS has an app for this but I want to upgrade it to be somewhat semi-auto). My problem is all I can find online is a web-based application, and I want to build an .exe app, i don't know the exact term to call this "API integrated .exe app".

Can someone advise which keyword or where should i look to find more info about how to do this?

Thank you so much.