ROFL i cant believe i found this on ask.com
When penguins have sex, the female lies on her belly and the male climbs on top with his feet and puts his rump around her rump. Then their cloacas (sexual organs) meet, and the sperm is transferred into the female. It's called the cloacal kiss.
here is also a link to a page that explains how penguins can be gay too:
http://www.jrn.columbia.edu/studentwork/cns/2002-06-10/591.asp