A woman is under police guard in hospital after the car she was driving crashed into a lake, killing three children and critically injuring one other in Melbourne's west on Wednesday.

Emergency services said the car, which had five people in it, ploughed through about 10 metres of scrub before plunging into Lake Gladman near the intersection of Manor Lakes Boulevard and Pedder Street at Wyndham Vale.

Passersby and police officers jumped into the lake and punched holes through the car's windows to rescue the people inside and then started giving the children CPR.

Police confirmed one child died at the scene, another passed away on the way to hospital around 5:30pm and the third died in hospital before 7:00pm.

The fourth child was taken to hospital with critical injuries.

Police believe all four children are under the age of six.

Dozens of emergency service workers attending the scene where a car went into a lake in Wyndham Vale. ( ABC News )

The woman who was driving the vehicle was rescued and is under police guard at the Royal Melbourne Hospital. She is in a stable condition.

Detectives from the Major Collision Investigation Unit are on the scene and police said the car would remain in the lake overnight.

Superintendent Stuart Bateson said it was unclear what caused the crash.

"All we know at this stage is a female driver has been taken to hospital," he said.

Lake Gladman is around 10 metres from Manor Lakes Boulevard, where the car ran off the road. ( Google Maps )

Superintendent Bateson said it was too early to say if the woman driving the vehicle was the mother of the children.

"What we do know is that when the car [crashed] passersby and police members got some of the children out and did CPR," he said.

He said police were investigating a "tragic set of circumstances".

"It's going to be a really harrowing investigation. It's really tough, it's tough on everyone involved," he said.

Aerial pictures from the scene showed a vehicle submerged in water about 10 metres from the lake's edge.

Dozens of emergency workers attended the scene to treat the injured.