I have solved this problem.
If you read

http://www.boonex.com/trac/dolphin/wiki/DetailedInstall
The hint was there.

On install (2nd screen?) - you have Script Paths.
After running around in circles I finaly noticed the
The installer was getting it wrong on Directory Root.
(Path to directory where your php script files stored.
/path/to/your/script/files/ )
IGNORE THE GREEN OK !
On shared hosting make sure it´s something
like
/home/myaccount/public_html/
Dont´t forget the last see more trailing slash

;)