You have most likely seen this phenomenon before over a lake or pond, but in the winter you can sometimes see "steam" above the Ohio River.

Technically what you're seeing isn't steam but more a type of fog. In these situations, the water is warmer than the air above it. That causes a lot of water to evaporate into the air above it, but then condense back to liquid when it gets into the colder air. Keep in mind water heats and cools more slowly than the air, so this is most likely to happen on a cold morning after a string of warmer weather. Now you have tiny droplets of liquid water hanging in the air which is also how fog is made! And fog is just a cloud down here at the ground.