I don't want the cursor to move

This is probably a very simple issue but when I last used Audacity some years ago I remember the cursor stayed centered and didn’t move while the blue waveform moved behind it.

How do I do that again ?

You remember incorrectly, because until fairly recently it was not possible to do that with Audacity. However, in the current 2.1.3 version it is possible, and it is called “pinned play head”. See here for how to turn it on and off: http://manual.audacityteam.org/man/timeline.html#pinned

I’m probably thinking of Soundforge! I used to use that aswell. I’m using Audacity 2.1.2 so I’ll get the latest version.