@Al Boom Diving has a few different locations, one near Wasl Rd. One in @Jebel Ali Golf Resort and one in @Le Meridien in Fujeirah. You have to leave at like 6:00 a.m. for some locations, but it's worth it!
@Active Sports UAE has classes for all different ages starting at 3 years old. They hold classes all around Dubai, so you will have to call to see which one your kids should go to