That's mixing the Cray hardware details folks. The Cray 1 and Cray XMPs had the "seats" covering the power supplies, and the Cray 2, Cray 3 and T series had the immersion cooling (no seats). More details on the Cray FAQ home page on
Building PCs into fish tanks full of clear Mineral oil is feasable http://hackedgadgets.com/2008/10/24/computer-cooled-using-a-mineral-oil-filled-fish-tank/
but without secondary oil cooling, when worked hard, eventually it will overheat as the oil -> air interface is thermally slow.