Inexpensive Annie wig needs a lot of love. Tends to look more like a lopsided auburn afro straight out of the bag. You’re gonna want to give this one a good shake, preferably ‘lift’ with a pick or wide tooth comb rather than brush and arrange curls with fingers.
Hot rollers or LOW TEMP curling iron would do it a world of good. Don’t use normal curling irons, they get to hot, melt the hair off and ruin your curling iron.