Explanation:

Introduction:
Gills are specialized organs that aquatic animals use to extract oxygen from water. They are found in a variety of aquatic animals, but not all animals that live in water have gills.

Dolphin:
Dolphins are mammals and do not have gills. They are warm-blooded animals that breathe air, just like humans. Dolphins have lungs, which they use to take in oxygen from the air. When a dolphin swims to the surface of the water, it exhales through its blowhole and inhales fresh air. This allows them to survive in aquatic environments while still needing to breathe air.

Squids and Octopus:
Both squids and octopuses are cephalopods, which are a type of mollusk. They do have gills and use them to extract oxygen from water. These animals have a specialized structure called a gill lamella, which helps them efficiently extract oxygen from water. Squids and octopuses are able to pump water over their gills and extract the oxygen needed for respiration.

Fish:
Fish are the most common animals with gills. They have gill arches that support their gill filaments, where gas exchange takes place. Water flows over the gill filaments, and oxygen is extracted from the water while carbon dioxide is released. Fish are able to extract oxygen from water due to their gills, which allows them to live and survive in aquatic environments.

Conclusion:
In conclusion, out of the given options, the animal that does not have gills is the dolphin. Dolphins are mammals and have lungs to breathe air, unlike squids, octopuses, and fish that have gills for extracting oxygen from water.