When you uploaded dolphin to your host you may have missed the .htaccess file thats in the zip archive that belongs in the root folder of your dolphin site. Some zip extractors, ftp programs ect sometimes miss that file because it's treated as a hidden file.
Check to make sure that file exists on the host.
If it does, then your host is not processing it. mod_rewrite needs to be enabled on the server.
Contact your host for help with mod_rewrite.
The alternative is to go into the admin settings and shut off all the permalinks. Not recommended if you want your site to be search engine friendly. Best to fix the mod_rewrite problem.