This looks like it might be a polarizing issue, since the sky appears blue in the reflection on the water. Judging by the shadow of the building, the light was coming from your left, so your picture would be a good candidate for a circular polarizing filter. It's simple enough to use. Screw it on to the end of your lens and then rotate the filter until you get the bright blue sky that you were expecting. I just posted some examples on
this thread.
The other option that you would be a graduated neutral density filter. Simply put, it's a filter that gradually changes from transparent to dark. Put it on your lens, and rotate it so the darker portion is covering the sky. It's like putting a pair of sunglasses over part of your lens. It will darken the sky enough to make it show up better without affecting the exposure you need for the foreground.