Your CPU chip generates an enourmous amount of heat while processing large amounts of data. The harder it works the more heat generated. Generally speaking a standard CPU comes with an adequate heatsink and fan. If you Overclock the CPU (physically make it run much faster) this has a dramatic effect on heat out put. The standard heatsink and fan would not cope. When the fan and CPU heatsink are removed a water (or other liquid) block is attached to the CPU chip via various clamps or clips etc. Water is pumped through that block via tubing and often goes through a heat exchanger with additional fans.
A water block is attached to the CPU (or whatever else you're water cooling) in the same way you'd normally use a heatsink. The 'water' (often non-conductive fluid, so if there's a leak, no damage is caused) is passed through the block using tubes. These run to a reservoir, and then to a pump to push the water around the pipes. The heat is removed when the water reaches the radiator, which is often cooled by fans. It's a closed-circuit system, there is no connection to any outside water supply. One thing you have to be careful about with a water cooling system, however is that you still need case fans to cool what doesn't run to the water cooling system.
And how dos the water stay cool and how do u put the water in it. O and what will happen if it broke.
did you read sammorris's post? A radiator cools the liquid, and as sammorris said, there is usually non conductive fluid inside the tubes so if it broke, then your machine wont explode... You just dump the liquid, or coolant (not water) into the resovoir and thats it.