If your ball goes into a regular (yellow) water hazard, you have three options:
1) play ball from hazard.
2) play ball from where you hit your last shot, and add a penalty.
3) keeping the last point where the ball crossed the hazard directly between you and the hole, go as far back as you wish and drop on that line. One stroke penalty.
With a lateral (red) hazard, you have two additional options.
You may play from the opposite side of the lateral hazard, equidistance from the last point of entry. One stroke.
Or,
You may drop within two clublengths, no closer to the hole, from where the ball last crossed the hazard. One stroke.
In your situation, assuming yellow stakes and the ball cannot be played from where it rests, you either:
play again from the bunker, or
keeping the point where the ball entered between you and the hole, play with the hazard between you and the hole.
With yellow, dropping in the fringe isn't an option.
http://www.usga.org/playing/rules/books/rules.html On the left side of the page, toggle down to Rule 26.