The plastic comb acquires static electricity when it combs the hair. This experiment remembers us the plastic pen that attracts paper when rubbed in cotton. In the experiment of the com the concept is the same.

The plastic comb is an electric isolator because it doesn't conduct electricity. When we rub the comb in hair it acquires static electricity charges in its surface because the electrons move from the hair to the comb. The charge acquired by the comb is negative and by the hair positive. The very thin water jet is constituted by polar molecules and, therefore, is attracted by the negative electric charge of the comb. Consequently, the direction of the water jet is changed by action of the comb. After several approuaches to the water jet, the effect of the comb decreases because the electric charge in the surface disappears.