From Nikonians Wiki - FAQs, Photo Glossary, Good Photo Locations, Help
Is not raw formats, e.g. NEF supported?
Answer: Yes, Annotate Expert (V1.20 and later) supports multiple raw formats, including NEF. For list of supported formats, see the pdf Users guide bundled together with Annotate, available from the Help tab.
In order to open NEFs, you will need a WIC compliant codec that supports NEF format. You can use the free Nikon Raw codec that supports NEFs: http://www.nikonimglib.com/nefcodec/ or the FastPictureViewer codec pack: http://www.fastpictureviewer.com/codecs/
IF you are having problems opening any RAW files in Annotate, please make sure that you have WIC (Windows Imaging Component) installed. WIC is present in WinXP SP3, Windows Vista and Windows 7 by default. In case you can not open RAWs in Annotate, you probably need to download and install WIC separately from Microsoft: http://www.microsoft.com/downloads/details.aspx?FamilyID=8e011506-6307-445b-b950-215def45ddd8&displaylang=en
I cannot open .DNG files
If you cannot open .DNG files, you need to install a codec that can open them. You can for example use the FastPictureViewer codec pack which supports many formats: http://www.fastpictureviewer.com/codecs/