When you are under water using some type of breathing apparatus (for example, scuba gear), you are not actually breathing out of an oxygen tank directly, but rather through a specially-designed regulator. When you inhale, the regulator allows air from the supply tank through an inlet valve to enter your mask for you to breathe. In most cases, the air will only be allowed into the mask when you inhale. When you exhale, that inlet valve is closed, and instead an exhaust valve is pushed open for the carbon dioxide to escape.

This type of mask allows the carbon dioxide that you exhale to be exhausted from the system so you don't breathe it later. If you are interested in exploring this in more detail, I'll just mention for now that these types of masks utilize diaphragms and differences in pressure to control the operation of the inlet and exhaust valves.

The air you blow has nitrogen about 78%, 2-3% carbon dioxide and about 17%oxygen. Is has very low density compared to water and does not want to mix with water (air is hydrophobic). When you blow some air into water there is a surface tension at the air water interface. The surface tension is the attraction of the water molecules to each other on the liquid's surface. Thus,a barrier is created between the air and the liquid.

To optimize this surface tension the air forms spherical bubbles. The bubbles are at low mass density compared to water so they float. As the bubbles go to the water surface they grow because the pressure on them (due to the water weight above them) decreases as they go up (because there is less water above the bubbles).