Mammals cannot breath water. Dolphins, whales, seals, walruses, and other aquatic mammals all have lungs and breath air. They seem as if they are breathing water because of the assumption that they have to breath as often as we do. However, aquatic mammals can actually hold their breath much longer, ranging from around 10min for a walrus to over an hour for some whales.

The reason they can do this has to do with the construction of their lungs and the Diving Reflex, which slows heart rate (among other things).
Mammals, such as whales and dolphins, have to hold their breath while underwater. They all have lungs and breath air and would drown if they tried to breath underwater. However, they can hold their breath for a long time (over an hour for some whales).

Dolphins are considered sea mammals, as are whales and sea lions.

Sea mammals live full time in the ocean (or in coastal waters such as bays), but have lungs and require surface air to breathe.

Of the sea mammals, dolphins are most like whales, in that they can dive deep and stay underwater for extended periods, thanks to evolutionary changes in the way their bodies process oxygen.

And unlike seals and sea lions, dolphins never venture onto land for more than a few seconds (while chasing down a meal) as they lack the flippers and other structures necessary to propel themselves back into the water.