The red filter is a waste of money for most UW use, it will only work correctly at a given depth, at other depths it will either add too much red or not enough, forcing you to manual adjust the camera and it always reduces the light available to the camera. Learning to use the manual white balance function of your camera is a much better (and free) option that accomplishes the same results without the need for more equipment or reducing the available light to the camera.
A strobe is the best choice but of the strobes available, the AF-35 is a poor choice. It is limited in it's power but it's biggest weakness is it's mounting system. The mount is flimsy and if it breaks it does not appear to be repairable. The other big problem with the AF-35's mounting system is the way Ike installed the cables inside of the arm. It looks nice but the arms are too short for for most work and because of the design you can not extend them. Plus they are not flexable enough to allow good positioning for a lot of macro work. I know other strobes are expensive but in the long run if you do much UW photography you will want a better strobe very soon. You might as well get a good one to start with.