Atlantica
Just before you enter this world, a breef scene will show Sora being concerned about entering this world, since they will drown if they enter it. Donald then tells him that his magic can allow them to suvive.
Upon landing, you'll see that Sora now has a blue dolphin tail, Donald now has octopus legs and Goofy has become a sea turtle. You'll then be introduce to Ariel, Flounder and Sebastian, who will teach you how to swim. You mostly have to follow Flounder around. Soon, a bunch of Heartless will appear, and your new friends will hide in a clam. After defeating the Heartless, Ariel will join the party.