A bibliography is a list of the sources that you used to research your topic (also known as Works Cited or References, depending on what format you're using). An annotation is a summary or explanation.
An annotated bibliography includes a full citation as well as a summary/evaluation of each source. It will look like your Works Cited/Reference page, but with notes on each source. There are some links below to examples.
The Purdue OWL suggests that the annotation parts of your annotated bibliography should do one or more of the following:
Summarize
Assess
Reflect
Keep in mind that not all annotations must be the same length, and do not always have to assess and reflect. Sometimes just a brief summary is enough. Remember to check with your professor on what they expect for your specific assignment.