In the Options menu click on Data Cursor. This will turn the data cursor on/off.
OR
Click the left mouse button anywhere in the bottom annotation line. If the data cursor is off, this will turn it on at the point coincident with the mouse pointer. If the data cursor is on, a deliberate click of the left mouse button in the bottom annotation line at the point horizontally coincident with the data cursor turns it off. Note when attempting to toggle the cursor on and off quickly, clicking the left mouse button twice in rapid succession (double-clicking) produces a much different result than turning the cursor on and off. See the following function for more details on double-clicking in the bottom annotation line.
Choose Options Data Cursor (ALT, O, C). This will turn the data cursor on/off.