The story has appeared at least in the Huffington Post and the Local (Germany), and on Of course, I could be wrong... and the Pet Blog during the first days of this month of June, 2009.
I found another charming story about penguins on Of Course I Could Be On Vacation...:
Touching Penguin Ritual(Actually, I have some small doubts about the veracity of the last statement. Is this a penguin story or a shaggy dog story, one might wonder. The answer, however, is obvious.)
Did you ever wonder why there are no dead penguins on the ice in Antarctica - where do they go? Wonder no more!!!
It is a known fact that the penguin is a very ritualistic bird which lives an extremely ordered and complex life. The penguin is very committed to its family and will mate for life, as well as maintaining a form of compassionate contact with its offspring throughout its life.
If a penguin is found dead on the ice surface, other members of the family and social circle have been known to dig holes in the ice, using their vestigial wings and beaks, until the hole is deep enough for the dead bird to be rolled into and buried.
The male penguins then gather in a circle around the fresh grave and sing: "freeze a jolly good fellow."