This question sprang out after I read about the heroic account of Moko the bottlenose dolphin(Tursiops truncatus) who saved two stranded pygmy sperm whales(Physeter macrocephalus) and led them safely back into the sea, from the TheAge.com News website.
It is interesting that we have always heard of accounts of dolphins' altruistic behaviors, and label positive connotations to dolphins as animals with high level of intelligence, sociable and more.
In this story, it once again lauds the dolphin for offering its selfless assistance, while giving an insight that suggests dolphins' ability to communicate with a different species of its own. But is this really true?
In the article, it was mentioned that human rescuers were about to give up after over an hour of futile rescue attempts as the whales were rep eatedly stranded. It was then that Moko made her appearance between the rescue workers and the confused whales, and communicated with them, orientating them towards the open sea.
Conservation Department Officer Malcom Smith said,
" What the communication was I do not know, and I was not aware dolphins could communicated with pygmy sperm whales, but something happened that allowed Moko to guide those two whales to safety."
National Geographic news video, 'Hero Dolphin Saves Whales' reveals that it was likely that Moko had heard the distress calls from the whales and thus responded to their need.
Megan Stolen, a scientist in stranding expert comments that while this was a extraordinary episode, it was not a surprise. She supports this by stating that some dolphins do occassionally travel with whales, however more often observed amongst bottlenose dolphin and pilot whales.
In another article, Justic Gregg, president of dolphin communication project comments,
"Similar in size and colour to a bottlenose dolphin, it is possible that a pygmy sperm whale might have signals in common with a dolphin, just as different species of dolphins are known to share signals which might theoretically allow a form of basic inter-species communication."
However, based on popular stories about dolphins coming to the aid of humans and other animals, the gesture that helped propped them back into water could also be an instinctive reaction that the whales experience. In other words, it could be a sheer coincidence of the whales merely following Moko who happened to be present.
Perhaps, the most plausible explanation for the ability to inter communicate between inter-species is the theory of Mutualism and Evolution.
Mutualism is an instance of cooperative interspecies communication. This implies 'the sharing and understanding of information from two or more species that work towards the benefit of both species'. As mentioned by Stolen earlier, cases of dolphins and whales embarking on travels together, suggests a dependency relationship that ties between the two species and justifies the intercommunication.
Moreover, since dolphins and whales are cetaceans, it is also argued that overtime, 'gene-culture coevolution in cetaceans, and culture may be implicated in some unusual behavioural and life-history traits of whales and dolphins', that may account for the heroic episode.
So in conclusion, did Moko really communicated with the whales and led them to safety? Well, I would argue that dolphins and whales probably shared and understood the signals emitted from one another since calls of distressed whales were picked up by Moko's sensory who later came to their rescue. As theories such as mutualism or evolution served to explain this nature of sharing signals between cetaceans, it is also crucial that we do not be assume this form of communication to be in the same instructional way as our human language.

Moko Hero!
Citations:
1."Dolphin rescues stranded whales": conservation official. theage.com.au, 12 Mar 2008.
2. Behavioral and Brain Sciences (2001), 24: 309-324 Cambridge University Press (2001).
3."Can different species talk?" by By Finlo Rohrer and Tom Geoghegan. BBC News Magazine, 13 Mar 2008.
4. Video: "Hero Dolphin Saves Whales". The National Geographic, 13 Mar 2008.
5: "Interspecies Communication". Wikipedia.com.org , 5 Mar 2008.