There are some miner chages. Take id of label using server tags.....
<b> Enter Text :</b> <asp:TextBox runat="server" onchange="ChangeLabel(this);" /><br />
<b> Entered Text:</b> <asp:Label ID="lblText" runat="server" />
<script type="text/javascript">
function ChangeLabel(obj) {
document.getElementById("<%=lblText.ClientID%>").innerHTML = obj.value;
}
</script>