You don't really "prune" annuals. When the flower spike is finished (the petals will fade and start to fall off) clip that stem off below the flowering part, just above a leaf node. Usually there will be a couple little baby leaves starting at that point.
Removing the spent flowers is called "deadheading." It prevents the plant from setting seed. The life cycle of an annual is to grow, bloom, set seed, and die, in one growing season. If you don't let it set seed, it will keep producing more blooms, trying to be able to finish the cycle. Later in the season, if you want some of the seeds for next year, you can let a few flowers go.