There are two events: onFocus() and onLostFocus().
Self-explanatory, really.
If you are new to listeners, then this isn't the simplest of examples, I'd have a look at the Button example under GWT Widgets for that
class Demo extends Composite implements FocusListener
{
TextBox textbox = new TextBox();
public Demo()
{
initWidget(textbox);
textbox.setWidth("100%");
textbox.setText("Click Here");
DOM.setStyleAttribute(textbox.getElement(), "textAlign", "center");
textbox.addFocusListener(this);
}
public void onFocus(Widget sender)
{
textbox.setText("Got Focus - Click Outside This Box");
}
public void onLostFocus(Widget sender)
{
textbox.setText("Lost Focus - Click Here Again");
}
}