1. They have an insulating layer of blubber (made up of fat and connective tissue) under their skin which allows them to keep their internal body temperature about the same as ours.
2. They take their oxygen from the water, either through their gills or their skin. Some animals have capacity to hold their breath for long time like Whales can stay underwater without breathing for an hour or more and when they need to breath they come to the surface of water.