We present a novel setup to investigate the low frequency (THz/FIR) spectra of an aqueous solution under high hydrostatic pressure (HHP). By integration of a diamond anvil cell into a THz Fourier transform spectrometer, we are able to record the absorption of bulk water in the pressure range from 1 bar to 10 kbar. The difference in intensity can directly be compared to the difference in extinction coefficients. The spectroscopic data reveal a blue shift of the H-bond stretch vibration at 180 cm-1, which is evidence of changes in the H-bond network dynamics.