How to make a cursor to follow a curve when there are several curves of the same measurement?

If you have plotted several harmonic distortion components (or filtered several bands) there are multiple curves that belong to the same measurement. If you want the cursor to follow the second order distortion component, you have to set this manually.

Go to Plot->Layout->Edit... and click the Tools tag as shown below. Then select the desired harmonic component. In the figure below, H3 (which is harmonic component 3) is selected.