Each verse addresses a famous explorer. The first (and title) line is what Henry Stanley said to Dr. David Livingstone after he went looking for the explorer in Africa; "Captain Scott... out there in the snow" refers to Captain Robert Falcon Scott, who endeavored the reach the South Pole; and, of course, Columbus in the third verse is Christopher Columbus, who "discovered" America.
This might be a bit far-fetched, but each verse - along with describing a famous explorer - also has water in one of its three states. There's water vapor in the African jungles in the first verse, frozen water in the arctic snow and ice in the second, and liquid water in the form of the ocean in the third.
