You can create and manage annotation feature classes in ArcCatalog or the Catalog window.
Annotation feature classes can exist both inside feature datasets and at the root level of the geodatabase. Feature-linked annotation feature classes inside a feature dataset should link to another feature class within the same dataset. Similarly, a feature-linked annotation feature class at the root level of the geodatabase should link to a feature class that is at the root of the same geodatabase.
A feature-linked annotation feature class can only be linked to a single feature class. However, a feature class can have any number of linked annotation feature classes.
When you look at annotation feature classes in the Catalog tree, it's not immediately evident which ones are standard and which ones are feature linked. The Annotation Classes tab of the Annotation Feature Class Properties dialog box tells you if it's standard or feature-linked. Feature-linked annotation has a label field and an Expression button, whereas standard annotation doesn't.
Also, simply looking at the Catalog tree won't tell you which feature class links to feature-linked annotation. However, the Relationships tab of the Annotation Feature Class Properties dialog box tells you to which feature class it links.