We report experimental evidence of self-guided propagation of femtosecond laser pulses in water. A light filament induced by 170-fs, 527-nm pulses has a diameter of 60 microm (at the 1/e2 level) and persists over a distance of 20 mm. The filamentary mode is sustained over a wide range of input power, and the energy excess is converted into conical emission. In the time domain, the pulse trapped in a filamentary mode experiences a number of splittings occurring in the early stage of filament formation.