First of all, let's define what a bibliography is: a list of sources (books, journal articles, and so on) that you have consulted on a particular topic. You might also hear the term "reference list" or "works cited." The bibliography contains information about each source, such as the author, title, journal name, date, page numbers. That information is formatted in a specific way, known as a citation style. Your professor should let you know what citation style they want you to use: APA, MLA, Chicago, or another style.
Now what does the annotated part mean? Well, instead of just a straightforward list of the sources, there's some explanatory text along with each entry that you create. This is typically a brief summary of what the source is about, along with critical analysis of the usefulness of the source, any biases, gaps in coverage of the topic, and so on.
An annotated bibliography can be an important step in the research process, as you gather and evaluate the sources you are finding. It can help you determine if you are finding enough on your topic or if you need to adjust your research question.
Purdue's Online Writing Lab (Owl) Guide to Annotated Bibliographies does a great job of explaining the elements, purpose, and formatting.
You can also take a look at this tutorial on annotated bibliographies (requires authenticating with your SDSUid and password).
Our "How to Cite Your Sources" guide has information on the various citation styles, so you can format the bibliography correctly.
