Why do penguins have flipper wings?

Because it helps them move through the water faster.

Further information:

Penguins spend much of their time in the sea, which is their source of food. Flippers are needed to enable them to swim, in order to catch their food. Penguins' wing bones are fused straight, rather than angled like a flying bird's, and this has the effect of making the wing rigid and powerful, like a flipper. The small wings and a streamlined body shape are ideal for diving in water, and also give the penguin extra speed when swimming.