What you see is called chromatic aberration. I feel lazy today, so you'll find an explanation of this phenomenon here
:
http://www.dpreview.com/learn/?/key=chromatic+aberration
As for how to correct it, it depends at which stage you want to do it.
To minimise this effect, you'd have to reduce contrast. In this case, that means exposing for the windows or area around them, and using a higher strobe power to illuminate your subjects underwater. A better way around it is to use a split ND filter, but this will restrict your composition options, and has its own difficulties to implement. Either options will get rid of the blown highlights too.
If you want to minimise it in post-production and you've taken the shot in RAW format, you can use APS or other converters' built-in functions to reduce or eliminate chromatic aberration. If you shot in JPEG, you can try to convert the picture to Image>Mode>Lab Mode, and then tweak the 'a' curve (Ctrl+M) to eliminate the purple altogether. Note that this last option will also affect the purple on the rest of the picture, so you'd have to select the area affected, e.g. using the Lasso tool.
Cheers,
Mat