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 dataset citation includes all of the same components as any other citation:
year of publication
publisher (for data this is often the archive where it is housed)
edition or version
access information (a URL or other persistent identifier).
Unfortunately, standards for the citation of data are not uniformly agreed upon and have yet to be codified by the National Information Standards Organization (an organization that sets technical standards for other bibliographic materials). However, many data providers and distributors and some style manuals do provide guidelines. Some of these instructions are listed on this guide.
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.
EndNote is bibliographic management software. ANU has a site license for Endnote that covers use on campus and at home for all ANU staff and students.
Versions X5 and above of Endnote have a template for the reference type 'dataset'. See the Endnote manual for information on how to use this reference type if you are unsure, or speak with an ANU Library Information Adviser.