The annotation tests are tools for detecting significant patterns among features (e.g. genes) of experiments, based on their annotations. This may help in interpreting the analysis of the large numbers of features in an experiment in a biological context. Which biological context, depends on which annotation you choose to examine, and could e.g. be biological process, molecular function or pathway as specified by the Gene Ontology or KEGG. The annotation testing tools of course require that the features in the experiment you want to analyze are annotated.
Learn how to annotate an experiment in Adding annotations.