To create Annotated Bibliographies with Zotero you will need to download an Annotated Style. Currently, Zotero offers 4 such options, for APA, Chicago (2 options) and MLA.
To get these styles, go to Edit > Settings > Cite > Get additional styles > type 'annotated' and select the ones you want to use.
For thesis work, you will most likely be required to complete an annotated bibliography. An annotated bibliography is comprised of a select list of citations on your topic, whereby each citation is followed by a critical explanation to indicate the relevance of that resource to the larger scholarly conversation. As noted in the Writer's Handbook from the University of Wisconsin at Madison, an annotation may do one or more of the following: