I should have taken a picture of the rig I set up to do these shots. I used an aluminum lasagna pan with a pool of water in it to catch the water droplets. Then I hung a plastic bag filled with water above it by clamping the bag to a piece of spare wood that was secured to a wooden stool.
I had the camera on a tripod and set to Manual mode. After pricking the bag of water, I focused the camera on the spot the water was landing by placing a knife in the spot and auto-focusing. Then I switched the lens to manual focus mode and also disabled image-stabilization. I would have liked to have a speed-light to do this, but I had to settle for my camera’s built in flash.
Once I was done, I fiddled with the white-balance to add the blue tint.