One way that O
2 is dissolved in water is by diffusion from the surrounding air. I'm not exactly sure why this happens...but it's probably because of atmospheric pressure. Other ways it can be dissolved is through aeration (like, when water falls from a waterfall, it pushes air underneath and bubbles come up. But some of the oxygen stays dissolved) and also from underwater plants, which give off O2 by photosynthesis.
If you're wondering about the mechanism, there isn't one. O
2 doesn't dissolve like regular ionic solids do (into + and - ions)...the whole molecule sits in the solution, solvated by water molecules, as pictured below:
Most information from this post is available from Texas A&M University, at
"Water's the Matter"