Citing something an instructor says in class is considered "personal communication" and is treated differently than other sources that are more formally published.
Also included would be phone calls, emails, interviews and so on. In general, you still need to indicate your source of information, but you may not need to include it in your reference list, since your readers would not be able to access it themselves.
On the library's citation style guides, first select the style you need, then look under the "How do I cite...." tab for a link to "personal communications."
