Citation/reference management software manages your references and citations and integrates with word processing applications (such as Microsoft Word) to create bibliographies and insert in-text citations directly into documents. Most citation/reference managers have other features that import and export files, facilitate note-taking and annotating documents, and create social groups for file sharing.
I recommend Zotero as a user-friendly, free, and open-source citation/reference manager. Zotero was created at the Center for History and New Media and is well-suited to gathering and organizing sources of all kinds for historical research.