Water balloons are inflatable balloons filled with water. You can fill up a balloon by pouring water into it, usually by sticking the nozzle of the balloon around a tap, turn on the tap and watch your balloon fill up. Full balloons are heavy, can not be thrown very far but make a big splash. Smaller balloons can be thrown farther but make less of a splash.
In video games, water balloons have often been used as joke weapons. In Bully, you can use water balloons to pull pranks on other students but also as a weapon.