When you begin the stage, you are immediately thrown in the water, so as soon as you land, start swimming downward. You should see the entrance to the tunnel in the bottom left corner of the screen, which is where you want to be going. If you need health/breath at all, you will find some coins along the way. It should be noted that you will want to stay away from the center of the first area, since the whirlpool will attempt to suck you into the void. Also, should you need air/health, you can surface in the tunnel. Once you make it through to the other side of the tunnel, go ahead and surface to find a submarine right in your face.
Your goal is to get on top of the submarine, of which there are two ways. The first involves getting on the boardwalk and finding the purple switch. This will create some blocks right next to you and allows you to reach the submarine. The other method involves jumping on either of the fins in the back of the submarine, then performing a Triple Jump to get on the submarine. Either one will work pretty easily, so once you get on board the submarine, head to the front of it to find the star.