If you click on the link for a document's PDF from within Zotero, the document will open with your computer's default PDF viewer.
You can then annotate the PDF with an annotation program such as Adobe Professional, FoxIt, PDF-XChange, Microsoft Reader, etc.
When you save your annotations to the PDF file, the annotations will sync with your Zotero account.
For more information, see https://www.zotero.org/support/kb/highlighting_and_annotating_pdfs and https://www.zotero.org/support/kb/annotation_sync