The Gelnika is a Shinra airship that has crashed in the ocean (hence it being referred to as the Sunken Gelnika). It has been shot down by one of the Weapons and can be found at the bottom of the ocean.
The Sunken Gelnika is an optional area that you do not have to travel through during the story of the game. You can only access it after you have obtained the Shinra Sub which is after you have completed the Underwater Reactor portion of the game. Check out the Underwater Reactor walkthrough page and the Submarine Fight walkthrough page for more details.
There are a number of items that you can obtain by going there though, including:
Conformer
Double Cut Materia
Escort Guard
Hades Materia
Heaven’s Cloud
Highwind
Megalixir (x2)
Outsider
Spirit Lance
Check out the Sunken Gelnika side quest section by clicking on the link below:
The map below shows the location of the Sunken Gelnika on the World Map (which can only be accessed underwater):
