Firstly, it has lungs not gills, and will drown like any land animal if prevented from coming up for air, although it can hold its breath for much longer than a land mammal. Instead of breathing through two little nostrils at the end of its nose, it has a single nostril in the top of its head, which enables it to breathe while only just breaking the surface (see blowhole in the picture). This blowhole has a tight sealing valve to keep water out, and a wide bore to minimize the time needed for breathing.
Another indication of its land origins is that although whales have no hind legs, there are tiny bones, buried deep inside them, which are the remnants of the pelvic girdle and hind legs of their long-gone walking ancestors. The same is true of the sirenians or sea cows.
Sirenians are very different from whales and dolphins but they are the only other group of wholly marine mammals that never come ashore. Where dolphins are fast, actively intelligent carnivores, manatees and dungogs are slow, dreamy herbivores. Manatees and Dungongs achieve hydrostatic equilibrium without the swim bladder that fishes have but with the use of heavy bones as a counterweight to the natural buyoancy of their blubber. Their specific gravity is therefore very close to that of water and they can make fine adjustments to it by pulling in or expanding the rib cage. The precision of their buoyancy control is enhanced by the possession of a seperate cavity for each lung: they have two independant diaphragms.
Dolphins and whales, dungongs and manatees give birth to live babies, like all mammals. That habit is not actually peculiar to mammals. Many fish are livebearers, but they do in a very different way. The dolpins placenta is unmistakably mammalian, and so is its habit of suckling the young with milk. Its brain, is also beyond question the brain of a mammal, and a very advanced mammal at that. The cerebral cortex of a mammal is a sheet of grey matter, wrapped around the outside of the brain. Getting brainier partly consists in increasing the area of the sheet. This could be done by increasing the total size of the brain, and of the skull that houses it. But there are downsides to having a big skull. It makes it harder to be born, for one thing. As a result, brainy mammals contrive to increase the area of the sheet while staying within limits set by the skull, and they do it by throwing the whole sheet into deep folds and fissures. This is why the human brain looks like a wrinkled walnut; and the brains of dolpins and whales are the only ones to rival those of us apes for wrinkliness.
Fish brains don't have wrinkles at all. Indeed, they don't have a cerebral cortex, and the whole brain is tiny compared to a dolpins or humans. This is another of dolphins mammalian history, along with the placenta, milk, a four-chambered heart, a lower jaw having only a single bone, warm-bloodedness and many other specifically mammalian features.
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