1) Create a new file and fill it with BLUE color #0066CC
(fig1)
Fig1
2) Go to filter > render > clouds (fig2)
Fig 2
3) Now give a water effect by go to filter > Distort > ZigZag.
In here I set the options Amount : 100%, Ridges : 9,
Style : Out from center.....you can play around with it, until you
satisfy with the image. (fig3) 
Fig 3
4) Then duplicate that layer, by drag it to new layer icon 
and set
the Layer : Overlay & Opacity : 50~60% (fig4)
Fig 4
5) Give a little ripple effect on that water by go to Filter >
Distort > Ripple , amount : 100% &
size : medium.
Here is what I got : 
If you use Style : Pond ripples in step #3, you will get
something similiar to this image below :
Just experiment with it :) Hope this helps. 