If your forget-me-not is Myosotis sylvatica, then it will be perennial in your area. [HYPERLINK@davesgarden.com]
But there are some other plants that go by that common name, and some of them would be annuals for you. If you don't think yours is the same as the one in the link I posted, you'll have to either give us a Latin name if you know it or post a pic of yours and maybe someone will know what you have.
The common blue Forget-me-nots in our zones are biennial. They re-seed very freely, so you will eventually have them come back each year - you won't be able to tell that they are biennial.
The same with me I think they were a free packet that I got at a garden show and I will never be able to get rid of them they come up everywhere even out in back of my house when they were planted in front. But I have to say my Mother-in-law is from a town up near the top of the lower pennisula of Michigan called Petoskey and she had some that she said she got from her parents farm they were a wild variety and brought them down to her home and she said they used to grow along the banks of their creeks up there on the farm. Anyway they didn't go everywhere they just stayed in their own little clump and yes they came back every year but she had to keep them watered alot.