With the second-largest sweet water lake you'd expect that a lot of water sports would be done in Western Kenya. That is not the case, but with some effort you might find yourself on the water anyway.
At many beaches you should be able to find fishermen willing to take you for a boat-ride, to see hippo's, birds or perhaps even crocodiles. Choose a healthy-looking boat, no storms in the vicinity and insist on life-jackets. Conditions on the Lake can change quickly, without much notice. Take a hat and sunblock and a thin rain coat. Negociate a price before you step into the boat! Boat-rides like this can be great fun and since the fishermen know the area well there is a large chance of seeing interesting sights.
Finding a place to do 'boating' or 'yachting' in larger boats you'll have to look around a bit. Some of the lodges / resorts / restaurants on the Lake shore offer some form of boating, at a fee. Another obvious place to check is the Kisumu Yacht Club, but that's a closed members club. Although they do allow day and temporary membership, there are no boats for hire unless you strike a deal with a boat owner.
Lake Victoria offers some real great sailing. However, sailing boats are scarce. See the above section.
What is written above for boating also goes for water ski-ing. Boats and equipment are mostly privately owned and usually not for hire. However some of the lodges on the Lake do offer water ski-ing.
Sport fishing has its own page.