Water has no colour in and off itself but will reflect the colours around it. The colours are given by coloured paper underneath the glass bowl/tray that you drop the water into. Here is another great example.
Crater H2O on Flickr - Photo Sharing!
The motion is not usually frozen by shutter speed (alone) but more usually by the flash. There are some great water drop tutorials on flickr and on DPS i think if you do a quick search. Have your sutter set at the highest flash sync speed 1/250 sec (depending on camera) and take the shot in a dark room with the flash at low power. Having the flash on low power gives a fast recylce time and also an incredibly quick flash which freezes t he motion. This is how many high speed photos are taken as a flash of light from a strobe is FAR quicker than a shutter ever will be. Lots of discussiojn, hints and tips here... and at various other flickr groups.
Flickr: High Speed Photography