Data requires citations for the same reasons journal articles and other types of publications require citations: to acknowledge the original author/producer and to help other researchers find the resource.
A citation includes all of the same components as any other citation:
- author,
- title,
- year of publication,
- publisher (for data this is often the archive where it is housed),
- edition or version, and
- access information (a URL or other persistent identifier).
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!