Our DD hated the bath in the early months too, regardless of whether it was a sponge bath or water immersed bath. We didn't get it cuz everyone was telling us how babies LOVE taking baths. But it WILL get better. DD eventually associated bathtime with relaxing, and she eventually enjoyed it.
Do you bathe her in the big "adult" size bathtub? She might feel more secure in a smaller baby bathtub. That's what we used, and still use.
We also bathed her in the evening. It helped her relax and wind down before bedtime. There have been times when she is clearly fussy/cranky at the end of the day, but when she sees we're going to give her a bath, her demeanor changes, and she is a totally different baby after the bath, a complete angel.
We also gave her a bath toy (like this
http://www.safeandsecurebaby.com/files/cache/62359904a44cdbe3fe27cc1e34430215.jpg). Her face lights up when we give it to her. She doesn't care about the noises it makes when you squeeze it (and it eventually stopped making noises), but she liked playing with it. Kept her occupied while we bathed her.
Make sure the water isn't too hot or too cold. Something a little cooler than what we'd like is perfect for babies. In the early days, I think DH made her bath a little too hot which might have contributed to DD screaming during her baths. I suggested he make the water cooler, and ever since then she enjoyed her baths more.