1. Before you begin, 
2. Select dolphin model. Go into Modify tab. Add Path Deform modifier. In Parameters rollout, click Pick Path button, and then click line in viewport. For Path Deform Axis use X and activate Flip.

3. A new line will be created in front of dolphin model, similar with the line you've cerated before. This line is used as dolphin's path of animation. But its orientation still need to be fixed. In Modifier Stack, click minus (-) sign in front ofPath Deform row. Then, select Gizmo. After that, the path will turn yellow and now you can rotate it. Rotate to any direction you want.

4.When finished, we are now ready to animate. Turn on Auto Key button located in the bottom of the screen. Move slider to frame 100, and in Parameters rollout increase Percent value. For example I set 100%. Turn off Auto Key. Dolphin animation is finished

5. Render your animation. Click Play button below to watch example of dolphin swimming.
Download finished dolphin animation file here (3dsmax 8, zipped)
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