Circular Polarizing Filters either screw onto the front of your lens or slip into a filter holder such as those made by Cokin or Lee Filters
Deepens blue skies
Rotate the polarizer to deepen blue skies (Image 2, above). The more you rotate, the darker it becomes. At some point in the rotation, the image will start getting brighter again.
But can change other colors As Well
Polarizers will also change the saturation of the color in your shot. Note how the color of the water as changed (Image 1 & 2, above).
Use a tripod and shoot 2 shots
If you use a tripod, you can shoot a good shot for the water, and one that is good for the sky. These can be combined later in image editor (Image 3, above).