If you're willing to use the command-line, copy and paste this into Terminal.
You can increase the maxdepth if you need to, but that will search your system for any folders (and files) named ".dolphin-emu", so if it doesn't find anything, it's most likely that the folder doesn't exist (or doesn't exist by that name, or is somewhere really obscure). If that's the case, I'd suggest downloading Dolphin 3.0 again and installing/extracting/whatever you do with .dmg files on OS X once more. If the command does give you a result, copy the text into Finder with "Go" -> "Go To Folder"
Code:
find / -maxdepth 5 -name .dolphin-emu
You can increase the maxdepth if you need to, but that will search your system for any folders (and files) named ".dolphin-emu", so if it doesn't find anything, it's most likely that the folder doesn't exist (or doesn't exist by that name, or is somewhere really obscure). If that's the case, I'd suggest downloading Dolphin 3.0 again and installing/extracting/whatever you do with .dmg files on OS X once more. If the command does give you a result, copy the text into Finder with "Go" -> "Go To Folder"