As other explained, with a regular Schengen visa, you can enter the Schengen area in Geneva (or anywhere else in Switzerland and any other Schengen country). You don't need to go to France first. In fact, thousands of people land in Geneva each year to catch a shuttle to the many French ski resorts so it's an extremely common occurrence there.
Additionally, Geneva airport has a small “French sector” that can sometimes be used to enter and exit the airport without going through the Swiss border check. But even if your flight allows it and you see a “Secteur France” sign, don't go there unless you really need to, it's not practical at all to go to Annecy (if you look at a map you will see that Geneva is surrounded by French territory on three sides but the French exit of the airport is in the “pays de Gex”, on the “wrong” side of Geneva if you want to go to Annecy). It's also extremely small, I am not even sure if you can count on a cab being available there all the time.