Which Dataform version do you have?
It can be set up in the activity settings. Before 2.6 it is a group mode 'Separate participants'. In 2.6 onward it is a Yes/No setting under the Entries section.
2.6 onward also allows you the same effect by denying the dataform:entryanyview capability from the student role (See Dataform capabilities). The latter approach is particularly effective if you want to further assign designated supervisors to students such that supervisors would see only their supervisees' entries.