Enter the course and swim through the tunnel, reaching the second area of Dire, Dire Docks. Underwater, you should see a jet stream, similar to the one in Jolly Roger Bay. However, this one is a bit different, as there are rings coming out of it. If you happen to pass through one of these rings, a red number will appear and all of your health/oxygen will be replenished. To get this star, you will need to pass through five rings in a row and should you miss one, then you need to start over from one. When you have passed through five rings, the star will appear on top of the grate in the jet stream.
If you remember the previous star like this, it is possible to swim fast enough by timing your button presses. However, this is not a full-proof plan, as one little slip up can mean having to start over. If you want to make it a little easier on yourself, head to the surface and look at the one end of the boardwalk. There will be a Metal Cap box here, so don the cap and go collect the star.