It was quite common to take vignettes from Greek mythology and write them into poems; authors were doing that long before Shakespeare's time. In fact, this and Sonnet 153 are actually attributed to Marcianus Scholasticus, who wrote versions of them in Latin in the 5th century.
The first line references Cupid, who sleeps next to his torch of love, or what we would consider his bow and arrow. The nymphs referenced were attendants of the goddess Diana, all of whom had taken a vow of chastity to serve her. One of the nymphs takes up Cupid's torch of love, and douses it in the nearby well, which heats the water to a bath. This bath, heated by the power of love, becomes curative, like a spa. It's implied the author bathes in this bath to cure himself of his love sickness for his mistress, but there is no cure for that -- the last line conveys that the "water cools not love," and his passion for his beloved remains unabated.
See a line-by-line analysis at the link: