He adjusts the shower faucet to make the water warmer, and simply holds her. When she says she can't get the blood (of a dead man) off of her hands, Bond sucks on her fingers (!) before asking her if she's cold. He sits down next to her, in the shower, and asks if she's alright. During Vesper's (clothed) Shower of Angst, Bond comes in to check on her.
Yes, it's weird that they're showering with their clothes on.
