You really don't have a choice do you? You decide to trust this little jester of the sea and grab onto his fin. At once, he chatters something that sounds remarkably like "Hang on, Human!" and tears off across the water.
After about 5 minutes of watching the pirate vessal swiftly receding, you realize that your new dolphin friend isn't carrying you toward the other ship! In dismay you try to tell the dolphin to turn, and even pull his fin a little, but he doesn't seem to hear or care.
You travel like this for what seems like hours, and your arms ache from the strain. You are cold, wet, hungry, and realize now that you are completely out to sea. Even if you did let go of the dolphin, you'd be unable to swim back to shore.
Suddenly you notice a little bit of shadow on the horizon. Within minutes you see that you are nearing some sort of island. A few minutes later, the land takes shape and you see huge cliffs towering several hundred feet high. There doesn't seem to be any shore at all to land on.
As you approach, the dolphin suddenly zig zags, narrowly avoiding a reef. Afterwards, the water is much calmer and a little warmer, and the dolphin glides lazily in toward the cliff face. Right when you get up to the cliff the dolphin turns and you notice that there is a gap in the wall that he moves into.
A few seconds later, you are in an underwater cave, and there are signs of human habitation! As the dolphin pulls you over to a boat dock, you see a row boat with a sort of paddle mechanism on the back that looks very strange. You also see that the pier leads to the rocky shore, and that a path and stairway is cut into the rock, leading up to some light source above.
With a flick of his fin, and a final "goodbye" the dolphin dives back under the water and disappears.