At the end of your work there should be a list in alphabetical (of authors surnames) order of all the works that have been cited in your work
These two words are often used interchangably but a bibliography is slightly different to works cited. Works cited are just a list of works which have been used in the essay where as a bibliography could also include documents which have been used as background reading but haven't be used in the work
Usually it is only necessary to have a 'works cited' list but if you do have a bibliography it is good practice to have 'works cited' as a subsection of the bibliography
There are many different recognised ways of formatting the entries in a works cited list. Different subjects and different universities require different what are called style guides.
To keep things easy we will be using MLA.