Hi Khol, as Nick and Brian say, it's a combination of timing and a quick enough shutter speed to freeze the action.
Selecting a quick shutter speed is easy in shutter priority or manual mode, but for a correct exposure, you'll need sufficient light. This means opening the lens aperture (smaller f-numbers), perhaps also increasing the sensitivity (a bigger ISO number), and of course making sure there's lots of light around.
Flashes can really help here.
In this thread are some action shots I took with a flash:
Flashes are quite interesting as although their synch speed with your camera may be 1/250 or below, the actual flash itself happens extremely quickly - something like a thousandth or even ten thousandths of a second.
So a neat trick you might want to try is to take your action shot in complete darkness! For the following shot of a dart going through a balloon filled with water, I put the camera on a tripod in a dark garden and left the shutter open for several seconds. I thin asked a friend to throw the dart at the balloon and I manually fired the flash on an external flashgun when I heard the dart hit the surface.
There were lots of failed shots or even of darts bouncing off the surface (!) but I did get two nice shots below... these were taken with a Canon EOS 400D / XTi with the kit lens and a cheap unbranded flashgun fired manually. The sensitivity was 400 ISO and the exposure set to manual with the aperture open - the shutter speed didn't matter as it was dark and not recording any light until the flash went off.