A lithographic projection apparatus uses a volume of a second liquid to confine a first liquid to a space between the projection system and the substrate. In an embodiment, the first and second liquids are substantially immiscible and may be a cycloalkane, such as cyclooctane, decalin, bicyclohexyl, exo-tetrahydro-dicyclopentadiene and cyclohexane, another high-index hydrocarbon, a perfluoropolyether, such as perfluoro-N-methylmorpholine and perfluoro E2, a perfluoroalkane, such as perfluorohexane, or a hydrofluoroether; and water, respectively.