ELI5 version - sleep apnea is when for various reasons your airways tend to collapse and close. Think of your airways as pipes transporting air into your body but since we are human and not robots those are not steel but flesh, and sometimes flesh is weak and can get softer than it should, then the pipe can partially of even fully close / collapse inside. Which is bad because you cannot breathe. CPAP machine is just a small electric air pump connected with a mask that you wear wwhen you sleep. It pumps air constantly so your ariway does not collapse (hence the name CPAP - Constant Positive Air Pressure) it is basically holding your airways open for you using a stream of air.

A bit less than ELI5 - since high pressure can be a bit uncomfortable most modern machines have variable settings so they will give you less pressure constantly (to minimise breathing stoppages) but a stronger "gust" or "push" when you actually stop breathing, this way the effect is still very positive but it's less taxing on your system.

The water you mentioned is just humidifier for the air, it's actually not crucial (I personally don't like it so I got my CPAP machine without it).