Hi Frayn
just as zappedagain said ,it is normally off as you can see the broken line in the symbol in the datasheet(if you got),that means we need to add a voltage between the gate and the source,so that the drain and source would be connected ,which would make the circuit work. This is why it is called "enhancement".
while for "depletion",that means it is normally on(drain and source connected),it is caused by its own inner materials (the isolating SiO2 with highly doped to make "on"),while sometimes we want it off ,so we add a negative voltage between gate and source to make it off.this is why we call it "depletion".