Actually, you had the right idea to begin with. You need a longer exposure time to pull in the water details (it's underexposed). Wolf is also right that the sky would blow out if you did that. Solution is to get a set of split neutral density filters. These filters are clear on one half and tinted on the other. They are usually rated as .3, .6 and .9 (1-stop, 2-stop and 3-stop difference between clear and tinted areas respectively). And you want the kind that are square and not round (Cokin makes a great set) ... that way, you can move it up and down to where it needs to be. Gives you more creative control.

The way you use them is like this. Set your camera to manual mode and set the aperture you want to use (lets just say F/16 for this example). Now you meter just the sky - lets say it reads 1/250th sec. You then meter the water - again, lets say it reads 1/30th sec. That's a 3-stop difference between the sky and water. You grab a 3-stop (.9) Neutral Density filter and place it over the lens. You set your camera for F/16 @ 1/30th sec, compose your shot and move the ND filter so that the border between the clear and tinted parts line up on the horizon (the border between the light sky and the darker water).

Now you have a shot where both the sky and water are properly exposed without blown highlights or stopped up shadow detail.