I am developing an application that needs to retrieve some data from a web server. But I have no idea how can this be possible?
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You need to create what is called a web service. This web service acts as a web page that can be read easily by machines. This page will let your program make HTTP posts and gets (Just like a web browser) in order to request and receive information. You can look at this page for the Google Maps API to see an example of how it works.
For the protocol that you use to communicate, you have many options. Among the most popular are JSON and XML.
To create the web service itself you have a multitude of options. It seems to be Java Servlet s and PHP are popular, but there are many others (ASP, Perl, Python …).