There are many video guides on youtube if you just do a quick search. But basically its just fill up the entire space you want to be the room size with dirt or something then cover it with what you can the walls to be. Then you just hollow out the inside and bam underwater thing.
Hint for entrance and breathing underwater: Ladders, signs, doors, and reeds block water.
Just make a solid box of gravel/sand/dirt underwater, cover it with glass on the outside, then hollow it out. You can use wood and burn it to make it go by faster but I prefer using gravel, so I can get more flint.