Dudley says after the crash, he and the woman's step-father surfaced.
Dudley says he dove several times to try to get the remaining passengers out, but couldn't get the door open.
He swam around the tail of the chopper and was able to help two passengers out the other side.
Dudley then helped them onto the skids.
He says he tried to get to the last passenger, Sonya Marra, but as he got to the door, the aircraft plunged to the bottom.
Dudley also told Shannon Sohn that he feels as if didn't do enough to save them, and that if he had 10 more seconds, he may have been able to get to woman who died, the woman who was in New York celebrating her 40th birthday.
He says also wishes he had thought to tie one of the ropes that was thrown out to him to the skid.
Sonia Marra was killed. Her mother and partner remain hospitalized.
The pilot came through it in good condition, and he's already spoken with federal investigators. Additionally, Mayor Michael Bloomberg says the city will conduct its own full-scale investigation.
The helicopter was airborne for just seconds when the pilot turned to his passengers and yelled that they were going down. The single engine was stalling, and the chopper began to spin. Witnesses say it spun multiple times before it hit the water off East 34th Street.
"As soon as it lifted off, everything was normal," one witness said. "And then, all of the sudden, it started spinning around."
The Jet Ranger hit the river with its nose pointing back toward the landing pad, just beyond reach. Then it capsized, starting to sink in 40 feet of water.
"It hit straight down on its right, and then it looked like it was floating upside down on the water," another witness said. "And there was a person, I remember a person holding it."
Divers, counter-terrorism units and EMTs all worked to pull the pilot from the water, along with three of his four passengers. They were rushed to nearby hospitals.
But there was no reaching one woman, identified as 40-year-old Sonia Marra, who was caught in the back seat of the sunken chopper.
Her body was recovered about 90 minutes after the crash.
"One of the comforting things was the way the police department and fire department and Office of Emergency Management came together, worked together and did whatever was humanly possible to reduce the loss of life," Bloomberg said.
And now the inquiries begin.
"It's really important to emphasize that the full investigation is just beginning," the NTSB's Mark Rosekind said. "We've been looking at witness statements, and we are fortunate to have intact wreckage, so we'll be able to really look at the aircraft...We're going to be focused on collecting factual information, particularly anything that could be perishable."
The pilot, in an interview with NTSB investigators, reported a mechanical problem immediately after takeoff.
The exact nature of the problem "is still being explored," Rosekind said this morning.
Paul Dudley told the NTSB he had 2,200 hours flight time, 1,500 of the in helicopters. 500 of those hours were in the specific helicopter's make and model
The helicopter, a 1976 Bell 206 Jet Ranger, will be dissected by investigators at Floyd Bennett Field in Brooklyn. The helicopter seats at least five people, which is the number on board at the time of the crash.
The main rotor was found broken following the crash, but it is not clear when the damage occured.
The NTSB is unsure whether the helicopter had a flight recorder, but does not believe so.
Investigators revealed that they are obtaining video that might have captured the crash.
"There are several sources that are both being pursued now and have already been provided. Until we analyze it we can't really tell its relevance and how much it will help in the investigation," Rosekind said.
The NTSB official said it was a Part 91, which is a private aircraft and a private flight. Because of that, air traffic control was not tracking it on liftoff.
He stressed it was not a tour operation and not a revenue generating operation.
"That's one of the things that could be a difference in what you are looking at," Rosekind said.
The investigators are looking at both human performance, including the pilot's past record, and other possible causes. Rosekind said winds, in particular, can be dangerous for helicopters, but no connection has yet been found.
A 15 member NTSB team is on site conducting the investigation.
More on the victims
The victims included a family from overseas, in New York City celebrating a birthday with a helicopter tour. The pilot was their friend.
It was the birthday girl who was killed in the crash. Her mother and her partner are listed in critical but stable condition.
The four passengers were friends with the pilot, Paul Dudley, who was planning to take them on a sight-seeing tour when the chopper crashed moments after taking off.
Dudley and three passengers made it to the surface of the water. But police divers found the body of Sonia Marra 90 minutes later, in the back seat of the submerged chopper. The group was in town to celebrate Marra's 40th birthday.
The surviving passengers are identified as Marra's mother, 60-year-old Harriet Nicholson; her stepfather, 71-year-old Paul Nicholson; and her partner 43-year-old Helen Tamaki.
The Nicholsons are British, but they live in Portugal.
Tamaki is from New Zealand and lives in Sydney, Australia, with Marra.
Dudley, 56, flies out of the airport in Linden, New Jersey, where he also manages the facility.
NewsCopter7 pilot Captain Randy Empey saw Dudley five minutes before he took off.
"He was excited," Empey said. "He was going to pick up his friends from the city, give them a little tour."
Dudley, an experienced pilot, has been in the news before. In 2006, he made an emergency landing in his Cessna in a park near Coney Island.
"We're trained to look for places to land," he said in an interview following that incident. "That's all there is to it."
He escaped injury in this crash and helped his three surviving passengers stay afloat until help arrived.
Paul Nicholson was treated and released from the hospital. He reportedly spend the night by his wife's bedside.
Marra previously owned two restaurants in Australia and has recently worked at a fruit market, where friends are remembering her jovial personality and spirit of adventure.
This is the seventh helicopter crash in either the Hudson or East River since 1995.