[CodeCat]

Here's a better splash particle for you. Made by LtZack and tweaked by me. It looks like an actual explosion, a bif column of water coming out of the surface, which then slows down and spreads before fading.

ParticleSystem ExplosionSplash
  Priority = WEAPON_EXPLOSION
  IsOneShot = No
  Shader = ALPHA
  Type = PARTICLE
  ParticleName = EXWater04.tga
  AngleZ = 0.00 2.00
  AngularRateZ = 0.00 0.00
  AngularDamping = 1.00 1.00
  VelocityDamping = 0.80 0.90
  Gravity = -0.20
  Lifetime = 80.00 80.00
  SystemLifetime = 6
  Size = 5.00 10.00
  StartSizeRate = 0.00 0.00
  SizeRate = 3.00 3.00
  SizeRateDamping = 0.90 0.90
  Alpha1 = 0.50 0.50 0
  Alpha2 = -2.00 0.00 80
  Alpha3 = 0.00 0.00 0
  Alpha4 = 0.00 0.00 0
  Alpha5 = 0.00 0.00 0
  Alpha6 = 0.00 0.00 0
  Alpha7 = 0.00 0.00 0
  Alpha8 = 0.00 0.00 0
  Color1 = R:255 G:255 B:255 0
  Color2 = R:0 G:0 B:0 0
  Color3 = R:0 G:0 B:0 0
  Color4 = R:0 G:0 B:0 0
  Color5 = R:0 G:0 B:0 0
  Color6 = R:0 G:0 B:0 0
  Color7 = R:0 G:0 B:0 0
  Color8 = R:0 G:0 B:0 0
  ColorScale = 0.00 0.00
  BurstDelay = 1.00 1.00
  BurstCount = 10.00 20.00
  InitialDelay = 1.00 1.00
  DriftVelocity = X:0.00 Y:0.00 Z:0.00
  VelocityType = ORTHO
  VelOrthoX = -2.50 2.50
  VelOrthoY = -2.50 2.50
  VelOrthoZ = 10.00 15.00
  VolumeType = POINT
  IsHollow = No
  IsGroundAligned = No
  IsEmitAboveGroundOnly = No
  IsParticleUpTowardsEmitter = No
  WindMotion = Unused
  WindAngleChangeMin = 0.149924
  WindAngleChangeMax = 0.449946
  WindPingPongStartAngleMin = 0.000000
  WindPingPongStartAngleMax = 0.785398
  WindPingPongEndAngleMin = 5.497787
  WindPingPongEndAngleMax = 6.283185
End

EDIT: Oh and another thing... it might be possible to use the OVER_WATER condition on the projectile model to trigger a particle FX when it dies on water. Just an idea.