TRUTH: Certified "open water divers" just breathe the same air that we breathe on the surface. The air is filtered, the moisture is removed and the air is then compressed into a scuba tank for use by the diver. On television and in the movies, when you hear that the diver is grabbing his "oxygen tanks," you’ll automatically know the movie dialog is way off-base!
By the way, divers CAN easily be trained in the use of breathing gasses other than air, but this involves different training and equipment than you’ll have in your open water scuba course.