I wouldn't recommend what anujasha9 said, it's pretty dangerous to change the source code, this is what I did for mine:
<?php $comment_args = array( 'fields' => apply_filters( 'comment_form_default_fields', array(
'author' => '' .
'<label for="author">' . __( 'Your Name:' ) . '</label> ' .
( $req ? '<span class="required">*</span>' : '' ) .
'<input id="author" name="author" type="text" value="' .
esc_attr( $commenter['comment_author'] ) . '" size="30"' . $aria_req . ' />' .
'<!-- #form-section-author .form-section -->',
'email' => '' .
'<label for="email">' . __( 'Your Email:' ) . '</label> ' .
( $req ? '<span class="required">*</span>' : '' ) .
'<input id="email" name="email" type="text" value="' . esc_attr( $commenter['comment_author_email'] ) . '" size="30"' . $aria_req . ' />' .
'<!-- #form-section-email .form-section -->',
'url' => '' ) ),
'comment_field' => '' .
'<label for="comment">' . __( 'Comment:' ) . '</label>' .
'<textarea id="comment" name="comment" cols="45" rows="8" aria-required="true"></textarea>' .
'<!-- #form-section-comment .form-section -->',
'comment_notes_after' => '',
);
comment_form($comment_args); ?>
Or what twentyten does and create your function inside the functions.php file, look up function function twentyten_comment to see what I mean, otherwise here's another good tutorial to read.