I am not really sure what the point of this was. Mythbusters debunked this a while ago and proved that bullets fired into water and fired under water do not have the energy to cause damage.
However it is still interesting to watch. Andreas Wahl uses what appears to be a Sig Sauer 551 under water and stands in front of it as he pulls a string to fire the weapon at himself.
For a more interesting and educational video, check out Dustin of SmarterEveryDay. He fires an AK47 underwater and then explains what is happening. Very cool and much more scientific than standing in front of a gun and shooting yourself.