According to Fox, the exercise took place "moments before President Obama and his motorcade crossed a nearby bridge."
Hey that's a great idea—a training exercise in public in our nation's capital close to the president on the eighth anniversary of 9/11. Maybe they could fly some planes really low over the city, too, just to train on how to do it?
UPDATE: CNN says "there were reports on police scanners that the Coast Guard fired 10 rounds of ammunition, but those reports could not immediately be confirmed. It was not immediately clear from the reports whether they referred to warning shots." The incident took place near the Memorial Bridge, in part of the river that was closed to boat traffic as a security precaution during 9/11 memorial ceremonies.
UPDATE: Washington news-radio station WTOP explains—the Coast Guard conducted a training exercise this morning that included radio instructions to fire 10 rounds. But the rounds were not actually fired, and there was no suspicious boat. CNN picked up on the radio chatter and reported it, causing a minor panic. According to Drudge, departures at National Airport were halted briefly as a precaution.