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Where to start? Of course the first thing you need to do is compile your sources by searching the library's catalog for books and databases for journal articles. You will find that a book's catalog record and the journal article's citation and abstract will be helpful to get an overall sense of what is discussed and are also indispensable when writing the bibliography entries. Also take a few notes on your first impression of the sources as you search.
When you have all your sources accumulated, type up all of your citations in the format specified by your instructor. Once the grunt work is over, give yourself plenty of time to examine each item. After reading, you may need some inspiration to try and write the annotations. Start with a brief summarization. Think about the topics being discussed and ask yourself "what is the author's main point?"
Next, the annotations require critical assessment. The goal here to tell why each item is a relevant, accurate, and high-quality source. Think about how it is going to fit your thesis and why your final research paper will depend on its inclusion. Is it very similar to other sources? Is the author someone who is well-known authority or who has some sort of bias? Is s/he trying to reach a specific audience? Does the author draw conclusions? Are you able to draw conclusions based on this source?
Think about what makes you feel this source is worthy of your attention. This sort of reflection will give you some ideas about how it will help (or disprove) your argument. If it has changed the way you think about your topic, indicate which facts or insights were eye-openers for you.
Once you have finished all of your citations (the bibliography part) and evaluations (the annotated part), you may find that you want to put them in a more meaningful order than just an alphabetical listing. Of course consult your instructor's guidelines before formatting, but if possible you will want to place items into groups that relate to each other, either by their similarities or their differences or some other distinction. Give a few quick sentences as to why each are grouped together under your headings so that readers understand what the focus of each section is.