Your nails contain no fat, so they can't naturally hold in moisture. Instead, try soaking them in tepid water, then applying a moisturizer, which will help lock in the water.
You may also want to try products that contain phospholipids, urea, or lactic acid -- all are "humectants." Complex 15, Aquaderm, and Moisturel are worth trying, or you may want to use an old standby -- petroleum jelly. Don't forget to reapply moisturizer after wetting or washing your hands or bathing.
But don't overdo it -- nails become soft and brittle when exposed to too much hand lotion and other moisturizers. Nails may be extremely soft right after a lot of time underwater or may become dried out from repeated soaking and drying.
If your nail becomes infected, particularly with a yeast organism, it's important to avoid prolonged exposure to water and to keep the nail area as dry as possible, since infecting organisms generally prefer warm, moist environments.