All 18 species of penguin are unable to fly, and are in fact better built for swimming and diving. Penguins are birds, so they do have wings. However, the wing structures of penguins are evolved for swimming, rather than flying. Penguins lost the ability to fly as they developed more efficient wing-propelled diving skills that allowed them to better forage for food at increasing depths of the ocean. Penguins swim underwater at speeds of up to 15 to 25 miles per hour.

More Info: wikipedia.birds