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What you have probably been told is that you must "cite" your source, not "site" your source.
"Cite" means to give the details of your source. For instance, if you are writing a document which quotes someone else, you need to "cite" them by saying who they are, what publication you are quoting from, and give all other details sufficient for someone else to be able to find the original document so that they can go and check for themselves.
If you are citing a movie, video, or DVD (list both the producer and director, if available; identify the work as a
motion picture in brackets immediately after the title, regardless of medium):
Weir, P. B. (Producer), & Harrison, B.F. (Director). (1992). Levels of consciousness [Motion picture].
Boston, MA: Filmways.
site your source 
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