Doing a little research, I see not all spiders can do this but a lot that can; some even collect air around them and dive for their food. The Chinese have recently discover thousands of tiny hairs on the spider's feet (like feathers) that increase surface area (tension).
Then place a little drop of washing up liquid on the surface and watch the little fucker sink!
JUST KIDDING!?!?!?!
I always loved watching pond skaters and water boatman as a kid wishing I could so what they did :D