Buy a latex or a nylon swimming cap. This is a necessary evil, so you might as well be lighthearted with it. Look for a cap that's funky, flirty and expresses your personality. If nothing else, get a cap in your favorite color and bling it out yourself (a few well-placed rhinestones and water-proof glue will do wonders).
Jump in the shower before you go swimming. No, you don't need to take a second shower (although cleanliness doesn't hurt) but you do need to get your weave wet.
Put a small amount of conditioner on your hair after you've gotten it wet. Conditioner will protect your weave hair from absorbing chlorine and lessen the chance of it causing damage. In fact, it's your hair's perfect protective shield, so comb it all the way through to the ends.
Divide your hair into two to four sections and braid it up. OK, it's not the most flattering look, but you're protecting your weave, so it's all good (and you can take your swim cap off when you get out of the pool).
Use hairpins to pin up the braids so that they'll fit under your swimming cap. Swimming caps might not be your thing, but as long as you're confident and "work it" while you wear it, you'll own the look.
Head back to the shower after you've finished your swim. This is no time to get lazy, sister. Those swimming caps, as lovely as they are, don't always keep all the water out, so you're going to need to rinse your weave free of conditioner and any chlorine.