Dagger depends on JSR 330, the Java standard annotations which are used for dependency injection (think: @Inject, @Singleton, etc.).
This is a separate jar that you have to include. If you were using a build system with integrated dependency management (Maven, Gradle, Ant+Ivy, sbt) you’d get this for free. If you’re still copying around jars then you have to add it manually.
You can download the latest jar from Maven central (at the bottom).