The entire application should be completed online here. If you absolutely need to send something via snail mail, it should be sent to the CU admissions office:

Office of Admissions
Columbia University
Graduate School of Arts and Sciences 
108 Low Memorial Library
535 West 116th Street, MC 4303
Columbia University
New York, NY 10027
Phone: 212.854.8903
gsas-admit@columbia.edu