How you connect an API depends on which API you plan to use. To use REST-based APIs, including REST API, Bulk API 2.0, Data 360 Connect API, and Direct Email Send API, create an external client app with the appropriate OAuth settings. See Connect to REST-based APIs, Connect to Data 360 Connect API, and Connect to Direct Email Send API.
To use SOAP API, download a WSDL file and authenticate with a user account. See Connect to SOAP API.