Dry ice isn’t actually ice at all! It’s the solid form of carbon dioxide. The dry ice is so much colder than the warm water, it turns immediately into a gas, which (along with the water) creates the fog you see inside the bubble. If you want your bubbles to stick, you can use a plate or tray with a little soap on top of it. Make sure you have parent help on this experiment and don’t touch the dry ice with your bare hands!