>>I use API_APPRUN class to run pg_dump.exe file
>>
>>I need to show the messages from it after it finishes.
>>
>>How to capture standard output and redirect it to file ?
>
>How about?
>
>pg_dump.exe > log.txt
>
>then you inspect log.txt?

And in case we need to capture stderr as well, here's a neat trick I already forgot twice, and had to google it out again:

pg_dump.exe > log.txt 2>err.txt