The picture was taken "in the wild" near Oamaru, New Zealand. There is a beach with some viewing platforms allowing you to get really close to the penguins.
Camera Model: NIKON D70
Lens: Nikon AF-S VR 70-200mm/2.8G IF-ED
Focal Length: 200 mm
Focal Length (35mm Equiv): 300 mm
Exposure Time: 1/320 sec
F-Number: f/2.8
Shooting mode: Aperture priority
Exposure bias: -2/3 EV
Flash: No
ISO: 200
Image at flickr, large version