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In diesel engines, the existence of a very dense liquid region could dramatically increase the rate of soot formation due to the very low air penetration. This experimental study is a contribution to the understanding of the structure of such dense sprays. It is devoted to the influence of the injection pressure on the characteristics of a water stationary confined jet with emphasis on the fluctuating behavior of droplets and on air entrainment. A two component Phase Doppler Anemometer allows the measurement of velocities and diameter of the droplets. Velocity and fluctuation intensities are plotted in the axial and radial direction for many cross sections in the spray. First, we discuss the influence of the gas flow around the jet: when the jet does not discharge in an open atmosphere, the dense core length is twice as short as with an open atmosphere. The main result is the existence of two distinct regions in the spray which illustrate some aspects of air entrainment.