At the beginning of each level there are two maps you can buy from a vendor kiosk. One is the regular map for the level and the other is the Data Disk map. Buy both of them every time you start a new level. They will show you where your objectives are and also show you where every Data Disk is.
Note: You cannot reload levels so if you miss one, that's it for that playthrough. I highly recommend using all five of your save slots as you play through the game so you can back up a level if you miss one.