The glib answer is "surface tension", which means that, at a small scale, the molecules of water tend to stick more to each other than to the molecules of the insect. It appears to the insect that it is walking, running, hopping etc. on a sheet of plastic. If you dip the legs of the insect in washing-up liquid then the molecules of water will be more attracted to the insect than to each other, and the insect will drown.