API Reporting Direction

I have fairly new to Visual Basic.Net and I've recently been attempting to work with an API from a data collection software. This software is used for collecting lots of information on many different types of data. The reporting part of the program is very weak, but they do offer this API allowing software programmers to create software to do their own reports. At this point I'm at a lost on how to do this. I have started working with the API and I can easily access data from the software thru the API and display the records in a DataGrid. However, my problem is getting this information into a reporting format. How should I do this? Should I attempt to send data directly to a database, like an mdb file? If so, where can I find information on how to do this? I think once I can get it into a database I can easily report from there. Thanks,

Ryan