Couple of differenet methods about it. One of the best is to use silicone caulk. Get a base of wood, stain the edges (if it has trim), then spread the caulk. You'll want to glue the dolphin to the base first to make sure it's nice and stable. Sand the tail where it broke off, so it's nice and flat, and jumping 'up' out of the woodwork, if that makes sense. Anywhoo, spread the caulk, use a knife or some other flat tool to texture it.
To add colour:
I understand that this caulk dries clear, so you'll want to paint the wood various shades of blues to represent the water. You can also paint over it, but you'll want to paint the tips of the caulk in white to represent the breaking waves. THen just cover it (once fully dry) with several layers of acrylic gloss to give it that wet look.
THat'd be my way of doing it. There are several products out there that actually replicate water. One is by Woodland Sceenics and is called, unimaginatively enough, Realistic Water. This may be an easier solution for you. It's what I'm using now, but the principle outlined above is to be followed EXACTLY the same, except you won't need to clour the white tips afterwards.
Go to:
http://www.woodlandscenics.com/index.htm
Under Landscaping, click on Water, and the product is displayed there, with a brief how to as well.