Hi Albert and welcome to the Community!
If you are totally new to web APIs, I would suggest checking out this article first: Making your data better with web APIs. It answers some of your questions.
As per the Pipefy API documentation that you linked, you need to add the Authorization header with your PAT (personal access token). You can do it right in the Web Location connector as follows:
The documentation provided lacks detail on authentication at Pipefy. I would suggest reaching out to them and asking for clear instructions for authentication.