Back in the day, I trained with
Mike Nelson for this same class your speaking about. (Not really)
http://en.wikipedia.org/wiki/Sea_Hunt
I do remember on some his TV "missions" he had people firing rifles and pistols at him while underwater. They just showed a bubble track. I think Mythbusters did a show in this called "shooting fish in a barrel". Kind of interesting as it wasn't as easy as it seems, and penetration in water is extremely limited.
Years ago while floating the river on inner tubes, with lots of beer, my buddy shot his .22 Ruger Mark I bull barrel under water. It went about three feet to the right in a semi circle and settled to the bottom.
Saw a show the other night on the military channel that showed the special forces shooting a MP5 under water. That would totally freek me out as the noise would have to be terrible.