I already have root access and tried to use ES File Explorer to search for "dolphin" but to no avail.
Applications store their data in a folders named after their package.
These folders are located in
The easiest way to find out the package name is to look at the Play Store url.
The package name is the part that comes after
You can see that Dolphin's package name is
mobi.mgeek.TunnyBrowser, so the full path is:
I found it on the SD card in the folder "tunnybrowser"...