"Now is fry that strange looking bug-like thing?"
The fry is in picture #2. The bug-like thing was problably the shrimp.
"What is the difficulty of photographing fry?"
They are quite small (under 1cm.), and they move around in fast, jumpy bolts. This means you have to have a fast shutter speed and excellent skills at focusing your camera very quickly. The fast shutter speed makes lighting problems, and you can't use a flash, or you risk damaging their little eyes.
I think I forgot to mention I am shooting with a point and shoot camera. It's a Olympus Stylus 600. It makes photography fun with shots like that.
Trust me, that bird is more than real.