The dolphins were the second most intelligent species on the planet Earth, only surpassed by mice, although many outside observers didn't know about the mice. They long ago knew of Earth's planned destruction and tried to communicate this to humans who misinterpreted it as amusing attempts to punch a football or whistle for tidbits. The last ever dolphin message was misinterpreted as a surprisingly sophisticated attempt to do a double backward somersault through a hoop while whistling the Star Spangled Banner, but was, in fact, a message. The message was, "So long, and thanks for all the fish."

The dolphin has developed a rather peculiar ability, which exploits the Plural nature of their galactic sector, not dissimilar to that evolved by the Babel fish, which is this: In the picosecond before the inevitable calamity, dolphins instantly wink into existence in all other possible probabilities in the Whole Sort of General Mish Mash.

The way to the planet of the dolphins may not be revealed,because they have left for their own reasons. It is a secret place, but the Hitch-Hikers Guide to the Galaxy has never been particularly good at keeping secrets.

For that reason...
Here is the location of the planet of the dolphins:

Here is how to get there:

Here is what it looks like from afar:

Here is what it looks like from a high orbit:

Here is what it looks like when you're there:

You will have noticed a pattern here: the dolphins do not want us to know, and who can blame them?