Citation management programs are add-ons that allow you to plug in information about a source and then choose what citation style you want it to appear in for your bibliography. Citation management programs do a pretty good job overall, but you should always check their output to be sure it conforms to the style you're using; they have been known to make mistakes.
Some citation managers, like the one that's embedded in Microsoft Word, work within a given word processing program as part of it. Others, like Zotero, are free downloads. Still others, like RefWorks and EndNote, are proprietary programs. Many databases offer an option to export citations directly into EndNote and RefWorks, which can be a timesaver if you have access to those programs.
is a free, open-source citation manager that was created by the Center for New Media and History at George Mason University. Older versions of Zotero only worked within the Firefox browser, but Zotero 3.0 offers a standalone option. For everything you ever wanted to know about Zotero, click here.
Word Citation Manager is in many ways the simplest option, as it is built in to Microsoft Word and requires no download or installation. However, it has more limited functionality than other citation managers. This link will take you to Microsoft's instructions for creating a bibliography in Word.