Show[plot, Graphics[{Text["--P=0", {0.2, 5.5},
TextStyle -> Directive[Bold, RGBColor["#123c69"], Medium]]}],
Graphics[{Text["--P=0.25", {0.2, 5}, TextStyle -> Directive[Bold,
RGBColor["#bab2b5"], Dashed, Medium]]}], Graphics[{Text["--P=0.5", {0.2, 4.5},
TextStyle -> Directive[Bold, RGBColor["#ac3b61"], DotDashed, Medium]]}],
Graphics[{Text["--P=0.75", {0.2, 4}, TextStyle -> Directive[Bold,
RGBColor["#edc7b7"], Medium]]}], Graphics[{Text["--P=0.9", {0.2, 3.5},
TextStyle -> Directive[Bold, RGBColor["#030a11"], Dotted, Medium]]}]]

a = {{1.*10^-6, 0.}, {0.025001, 2.31442*10^-9}, {0.050001, 6198*10^-8},
{0.075001, 0.0000486898}, {0.100001, 0.00118944}, {0.125001,
0.00795706}, {0.150001, 0.0279899}, {0.175001, 0.0683553}, {0.200001,
0.133061}, {0.225001, 0.222841}, {0.250001, 0.33607}, {0.275001,
0.469822}, {0.300001, 0.620694}, {0.325001, 0.785321}, {0.350001,
0.960656}, {0.375001, 1.14408}, {0.400001, 1.33343}, {0.425001,
1.52695}, {0.450001, 1.72325}, {0.475001, 1.92128}, {0.500001, 2.1202},
{0.525001, 2.31938}, {0.550001, 2.51838}, {0.575001, 2.71684},
{0.600001, 2.91454}, {0.625001, 3.11129}, {0.650001, 3.30701},
{0.675001, 3.50161}, {0.700001, 3.69506}, {0.725001, 3.88736},
{0.750001, 4.07851}, {0.775001, 4.26853}, {0.800001, 4.45746},
{0.825001, 4.64532}, {0.850001, 4.83217}, {0.875001, 5.01803},
{0.900001, 5.20296}, {0.925001, 5.38699}, {0.950001, 5.57017},
{0.975001, 5.75254}, {1., 5.93414}}

plot = ListLinePlot[a, PlotRange -> {{0, 1}, {All, All}},
PlotStyle -> {Dashed, RGBColor["#123c69"]}, Frame -> True,
Axes -> False, FrameLabel -> {OverHat[T], [Kappa]}]