See the image. The top health bar is yours, the bottom is the enemy's.

NOTE: The actual file used here is the target window. So in the game you will have two player-looking windows. I just made mine completely invisible and moved it off the screen.

You may have to press ALT+T the first time you get in game.

No, it will not dissapear when you hit escape!

EDIT: updated it so now your player stats stay when you push escape.