In Java programming language, we use JDBC (Java Database Connectivity) API to connect to a database and perform various operations such as executing SQL queries. JDBC is a standard API provided by Oracle that allows us to access the database from the Java program.

1. Load the JDBC driver: First, we need to load the JDBC driver into our program. We can do this by using the Class.forName() method to load the driver class, which is responsible for establishing a connection to the database.

2. Establish a connection to the database: After loading the driver, we can establish a connection to the database using the DriverManager.getConnection() method. This method takes the URL of the database, username, and password as parameters.

3. Create a statement: After successfully connecting to the database, we need to create a statement object that will be used to execute SQL queries. We can do this by using the Connection.createStatement() method.

4. Execute SQL queries: Once we have created the statement object, we can use it to execute SQL queries. There are three methods we can use to execute SQL queries - execute(), executeUpdate() and executeQuery(). The execute() method is used to execute any SQL query, while the executeUpdate() method is used to execute SQL queries that modify the data in the database, such as INSERT, UPDATE, DELETE statements. The executeQuery() method is used to execute SQL queries that retrieve data from the database, such as SELECT statements.

5. Process the results: After executing the SQL query, we need to process the results. If the query returns a result set, we can iterate through the result set and fetch the data using the ResultSet.next() method.

6. Close the connection: Finally, we should close the connection to the database using the Connection.close() method.

Overall, executing SQL queries in Java involves several steps, but by following these steps and using the JDBC API correctly, we can easily connect to a database and execute SQL queries.