The Dead Sea is actually a (large) lake lieing between Isreal and Jordan. It sits well below sea level, and is actually lower than all the surrounding land. Therefore, while the river Jordan flows into it, there's no river egress allowing water to flow out. Instead, the hot sun evaporates the water at the same rate that it enters the lake, leaving behind a high concentration of salt - so much salt, that people can float quite easily in the water. See, for example,
http://www.deadsea.co.il/index.htm