Can I change the frequency of the data that I download using the API?

This is only possible for time-series data where you can use the collapse argument to do this.  For example:
# collapse = daily|weekly|monthly|quarterly|annual

The above call takes the time-series DOE/RWTC which shows daily data, and converts it to quarterly.  

Note that the conversion process is very simple: Quandl just takes the last observation in the quarter and uses that as the quarterly datum. This does not work well for time-series that contain percentage changes, period averages/totals (e.g. trading volume) or period extremes (e.g. high/low). For such time-series, we recommend downloading the raw data and carrying out the required transformation using your own analytic tool.

Note that you can only convert a time-series to a lower sampling frequency (e.g. daily to monthly) and never the other way around (e.g. annual to daily).