Annette is located in Stage 7. You first need to rescue Terra and Iris to be able to do this.
In the first room of the clock tower section, break the red pillar statue and push the switch behind it. Next, climb to the top where there's a small cog wheel and locked door in the upper right corner. Hit the cog wheel until the door opens and enter that. In this next area, kill the hawk to obtain the key. Hold on to it for now.
Next, in the last room of the clock tower section, you'll see a locked door. DO NOT USE THE KEY here (as its a fake room) and instead proceed upward until you see a crystal pillar blocking another switch. Like before, break the pillar to push the switch. Now go back down to where the locked door is. If done correctly, a new area should have opened up below with another locked door below the first one. Open the new/lowest locked door and after a cutscene, you'll save Annette.
You can come back here again in later playthroughs to find a room with several candles that drop moneybags and the Stopwatch subweapon if you're using Richter.