Pure water doesn't conduct electricity well. The reason we can get shocked when standing in electrified water is because water we come across will be contaminated by minerals, dirt, and other things that will conduct electricity.

A substance conducts electricity if it has mobile charged particles. For example, metals are generally good conductors because their valence electrons can jump from atom to atom; i.e. they have mobile charged particles. Salts in their solid state are not good conductors; they are made of charged particles (ions) but the ions cannot freely move. When you dissolve a salt in water, however, that's a whole other story: the ions become free to move and the saltwater solution conducts electricity very well.

Now back to your question: why is pure water a poor conductor? Pure water does have SOME ions in it. Water naturally dissociates to a very limited degree via the following equation: 2H2O <=> H3O(+) + OH(-)

However, the equilibrium constant for this dissociation is tiny (Kw = 1e-14), and the ion concentrations are vanishingly small ([H3O(+)] = [OH(-)] = 1e-7 M). In other words, the number of charged particles moving around in solution is very, very small. That's why pure water is not a good conductor at all.