Be careful with some of these simple add/remove label solutions posted, as their may be 1) usability issues due to the reliance on JavaScript and 2) you might have a bunch of submissions to your form that have "enter your name here" as the value.
Here's a good overview of the potential concerns and an offered solution. In fact, this solution is more like the SO "Ask Question" page, which uses a span overlay as opposed to showing/hiding text.
To implement this particular solution (there are others), you would download the script here, put it on your server, then include the following code:
<script src="http://ajax.googleapis.com/ajax/libs/jquery/1.4.2/jquery.min.js"></script>
<script src="/path/to/jquery.infieldlabel.min.js"></script>
<script>$(function(){ $("label").inFieldLabels(); });</script>