In order to communicate with the Pinterest API, you need to obtain an access token that identifies you as a user (or identifies an individual user on your site).
The Pinterest developer site has a token generator that lets you generate an access token for your Pinterest user and with the desired scope. If you just need to call the API on behalf of your own user, this approach is ideal since you don't have to setup an authentication page, but rather just get started with the code based on the generated access token.
Another approach is to set up an authentication page. In order for this to work, you need to go to the apps page to either create a new app or use an existing app if you have any. The app is what lets your users log in with your site.
Pinterest requires that your authentication page uses HTTPS. Your app should also be submitted for review and then approved by Pinterest before your users can log in with your app.