Be sure you have a field created asking for their e-mail name within your form. This is one of the default fields created when you first create a Form Folder.

While looking at your form, click on Contents.

Find the Mailer and click on that.

Click on Edit.

Click on Overrides.

In the box under BCC Expression type in request/form/replyto. This is assuming the that you used the automatically created e-mail field. If not change the replyto to the name you assigned to the e-mail field.

Note that applying this override will negate any addresses added to the BCC Recipients on the Addressing tab. CC Recipients will still be read.

Don't forget to click on Save