Ok a complete explanation.
When you take a photo with a flash. The flash power is controlled by how long it is on for. This is instant, very instant, think in terms of 1/2000th of a second for a really really strong flash at full power, to 1/40000th of a second for a strong flash at 1/128th power. (These two numbers are actually the shortest and longest duration of the SB-800 if I recall correctly). Now the camera shutter opens, waits till it syncs (i.e. both shutter curtains are open), and then signals the flash to fire at a certain power and the flash illuminates the subject for a split second of the entire exposure. (As an asside this is also why shutter speed makes no difference to flash brightness, only to background light brightness).
With the theory out of the way to take a photo like this:
1. Prefocus your camera, and setup your lights.
2. Make the room pitch black, not dark, pitch black. The idea is that it should be dark enough so it won't show up on an exposure several seconds long.
3. Fire the camera off in manual for an exposure of a few seconds.
4. Drop the water, fire the bullet, pop the balloon or do whatever action you want to freeze, and at that instance you need to manually release the flash.
Now the SB-800 along with lots of other flashes allow manual settings, and also have a trigger button, if possible use this trigger. If you don't have the trigger button the easy thing to do is to use a wire to short the middle pin on the flash with the ground connector on the bit that holds to the hotshoe. This is exactly what the camera does when it signals the flash to fire.
5. Once the action and flash is over, close the shutter and enjoy the moment frozen in time.
The reason this is done rather than use the camera shutter button is because of camera lag. When you push the button, the electronics get ready, the rapid return mirror flips up, the shutter opens, then you have to wait at least 1/128th of a second on most cameras for the first shutter curtain to fully open, and then it triggers the flash, all in all costing you around 100-400ms depending on the camera and causing you to miss that critical shot. Triggering the flash on the other hand is instant. The split second the signal is received an electronic switch dumps the charge into the flash. This takes less than 10nanoseconds to happen, thus allowing you accurate control over when the camera "sees" the actions.