To get started, look into ginput and text. ginput will let you click on points in your plot and return the coordinates to some function that can generate information to be displayed in the current plot using text of by opening another figure.
You can use ginput in a loop to display multiple data points as you go:
for t = 1:10
[x,y] = ginput(1);
text(x,y,'some info');
end
I don't know of a way to remove the gird lines. NKN's solution might do that for you.