Here is a minimal example using the SASHELP.CLASS data set with Proc SGPLOT
proc sgplot data = sashelp.class;
scatter x=height y=weight/datalabel=name;
run;
you can use any of the variables in the data set with DATALABEL option to provide a label for the points. I recommend not using ones with long text though.
If you have the observation number in the data use your variable name. If you don't , add it to the data prior to plotting possibly with something like
data toplot;
set components.corr;
obs=_n_;
run;
and use the toplot data set and datalabel=obs.