The 9V battery is required, because the liquid only closes the circuit and the car can't run without it. The big button on top of the car releases the liquid when pressed, and the car's engine stops. The car also makes quite horrible noise as it goes on.
I have heard about toy cars that produce steam from the water, but this doesn't, the water is just like piece of electric wire to complete the circuit.
When I saw this car and heard the price, I almost left it there (because I don't like wasting too much money) but then I thought it would be the last time I'll ever see one of these. It was part of the fun to figure out how it worked.
Some new pictures:
Battery hatch open and closed:

Bottom:
"Fuel tank" and water release button:
There's some kind of mechanism at the bottom of the car, you can see a switch that goes back and forth and it locks in the rear position and a white piece of plastic rises next to the left back wheel. I haven't yet figured out how that works or what it does. There might be some kind of a "launcher" for this car and that thing may have something to do with that.