From a medical website:
Dry drowning occurs when a severe muscle spasm of the larynx closes it, preventing aspiration of water and respiration.
From scuba-doc.com
COLD WATER NEAR-DROWNING
Are cold water near-drowning victims any different from warm water victims?
Submersion accidents which lead to unconsciousness in waters colder than 70 degrees F occur with regularity. Oxygen needs are much reduced when the body is cold, therefore a permanent brain damage from low oxygen states may not occur. A 60 minute cold water submersion victim has been fully resuscitated. Similar to the hypothermic victims above these nearly drowned individuals appear cold to touch, blue, with no respiration or evident circulation and their pupils are fixed and dilated.
What is the pathophysiology of drowning?
The principal physiologic consequence of immersion injury is prolonged low oxygen level in the blood (hypoxemia). After initial gasping, and possible aspiration, immersion stimulates hyperventilation, followed by voluntary cessation of breathing and a variable degree and duration of laryngospasm. This leads to hypoxemia. Depending upon the degree of hypoxemia and resultant acidosis, the patient may develop cardiac arrest and central nervous system (CNS) lack of blood supply (ischemia). Asphyxia leads to relaxation of the airway, which permits the lungs to fill with water in many individuals ("wet drowning"). Approximately 10-20% of individuals maintain tight laryngospasm until cardiac arrest occurs and inspiratory efforts have ceased. These victims do not aspirate any fluid ("dry drowning").
http://scuba-doc.com/hypoth.htm
Hope this helps, if you still dont understand think of it this way, when you jump into a cold lake in your swim-suit , the first breaths you have are short and hard, well if its too prolonged can lead to dry-drowning.
Edited for typos [\i]