When hydrogen and oxygen combine to form water, the arrangement of the electrons in their atoms is changed - they form covalent bonds - try this link:
http://www.wpbschoolhouse.btinternet.co.uk/pag e04/4_72bond.htm#molecules
When their electrons are shared like this, each atom "thinks" it has an electron arrangement like that of a noble gas (helium, neon, argon etc). These elements are very unreactive. Hydrogen and oxygen do not any longer have their individual characteristics - they have formed a new entity - a compound - with a set of properties all its own. It's a bit like making a cake - the end result has quite different properties from the ingredients you started with. Hope this helps.