Data requires citations for the same reasons journal articles and other types of publications require citations: to give clear evidence for your ideas, to acknowledge the original author/producer and to help other researchers find the resource.
Some datasets will give you a suggested citation, which can make it easier to decide what information to include. Be sure to follow the general citation format for the style manual your professor has asked you to use. It is always better to provide more information about a resource rather than less!
Some style manuals (APA) provide instructions for citing data. If you are using another style, you will base your citation on the guidelines for a book or article. Important elements to include are:
Who is the creator of the data set? e.g., individual, a group of individuals, or an organization
What name is the data set called, or what is the name of the study?
Edition or Version
Is there a version or edition number associated with the data set?
What year was the data set published? When was the data set posted online?
Is there a person or team responsible for compiling or editing the data set?
Publisher and Publisher Location
What entity is responsible for producing and/or distributing the data set? Also, is there a physical location associated with the publisher?
What type of file is the data set? Is it on CD-ROM or online?
This may or may not be a required field depending on the style manual. Often this information is added in explanatory brackets, e.g. [computer file].
Electronic Retrieval Location
What web address is the data set available at? Is there a persistent identifier available? If a DOI or other persistent identifier is associated with the data set it should be used in place of the URL.
IASSIST provides examples of a dataset cited in APA,Chicago and MLA, so you can compare between styles.