The annotation is attached in Windchill to a representation. A representation is attached to a CAD Document (or also a WTPart, but we don't use this side of PDMLink).
First thing is to create this representation of your CAD Document. Either by publishing it, or by performing a custom check-in (Viewables) in ProEngineer.
Now you can open this representation in Productview, create some measurements, hide some parts. You'll create an annotation by simply click on the cascading menu in PView, and select Save as. You enter a name for your annotation set, and you click on OK.
If you go back on representation tab in PDMLink, you'll see the annotation set.