Yes! The bibliography comes at the end of your work, like a paper or research project. It is, essentially, a list sources both consulted during your work and referenced in the final product.
Bibliographies vary widely depending on the citation style you are using. In MLA, it's a "Works Cited" page. In APA, it might be "References." Refer back to the "Formatting & Style Guides" page in this guide to make sure you know which style to use for a particular paper, project, or discipline.
To quote the handy plagiarism.org resource, the "Works Cited or References list is only comprised of references to those items actually cited in the paper."
This resource from UIOWA says it best:
"A bibliography is not just 'works cited.' It is all the relevant material you drew upon to write the paper the reader holds."
Creating a bibliography seems like a lot of work... and it is!
But creating a list of all the resources you cite throughout the course of a paper or project will save you time and energy at the end when you need to point your audience to the support you received along the way.
An annotated bibliography, according to the UNR Writing & Speaking Center, "is simply a list of sources and a description of each source." So, once you've gathered your sources and you're ready to turn your works cited or reference page into an annotated bibliography, think about "what is pertinent to your paper (or what you think will be pertinent to it)."
Your instructor has asked your to write an Annotated Bibliography: but what's in it for you?