Create Client applications
You can create client applications without writing code using canvas and model-driven apps. More information: Overview of creating apps in Power Apps
If the Power Apps options do not meet your requirements, you can create a client application using code.
Connecting to Common Data Service
To connect to a Common Data Service environment you need the URL to the environment and credential information for a user account with access to that environment. The strategy you will use depends on whether you have this information or need to get it from the user of your application.
People may have access to multiple Common Data Service environments. Unless your application will only connect to a specific environment, you can allow the user to choose which environment they want to connect to by using their credentials to discover which environments their credentials authorize them to use.
To use the discovery service you must authenticate the user for the discovery service and retrieve the environments that are available for them. Usually you must implement some way for them to choose which environment they want to connect to. The next step is to use the information about that environment to authenticate them a second time for access to that specific environment.
More information: Discovery Services
When you know which environment to connect the user to, you the must authenticate them with that environment.
More information: Authentication with Common Data Service web services