Put the list of "Works Cited" or "Bibliography" at the end of your essay, on a separate page, headed (oddly enough) "Works Cited" or "Bibliography." Entries should be in alphabetical arrangement, double-spaced, with the second and subsequent lines of an entry offset (indented) about a centimetre.
In general, the information you provide for each entry should follow this order:
Frye, Northrop. Anatomy of Criticism: Four Essays. Princeton: Princeton UP, 1957.
Bate, Walter Jackson, ed. Criticism: The Major Texts. New York: Harcourt, 1952.
Hagerman, Edward. "Consumer Capitalism and Culture: The American Way." The Canadian Review of American Studies 18 (1987): 34-42.