You must cite sources from which you quote or paraphrase in your research paper. For rules and examples of the APA citation style, look here:
Sometimes students will use online citation formatters provided free on the Web or within a library database. If you use one of these online formatters, remember that they are not foolproof. You will need to review your citations to make sure they are correct. UW-Whitewater's libraries have a guide that lists some of these citation formatters.
Essentially, an annotated bibliography is a bibliography (list of sources consulted) with annotations (summaries, possibly also providing evaluation of each source). Sounds simple enough, right?
There's a booklet about it at Andersen Library's Reference Desk: On compiling an annotated bibliography. 2000. Call number: Z1001 .H33 2000
There's more information about annotated bibliographies online from Purdue University's OWL (Online Writing Lab), including some examples (use the links for samples at the left side of the display).