Most artists appreciate applause at any time during a performance. Until the late nineteenth century and even into the twentieth century, it was customary for audiences to applaud at the end of every section of a given piece, and some movements were even given an immediate encore if the applause was great enough.
Modern audiences, however, tend to wait until the end of an entire piece to clap. This is considered to be respectful to the performers’ concentration and mindful of musical continuity.
If you are unsure about when you should applaud, a good rule of thumb is to follow the lead of other audience members.