  Of the cosmological gamma-ray bursts, GRB 011121 has the lowest redshift,
z=0.36. More importantly, the multi-color excess in the afterglow detected in
the Hubble Space Telescope (HST) light curves is compelling observational
evidence for an underlying supernova. Here we present near-infrared and radio
observations of the afterglow. We undertake a comprehensive modeling of these
observations and those reported in the literature and find good evidence
favoring a wind-fed circumburst medium. In detail, we infer the progenitor had
a mass loss rate of Mdot ~ 10^-7 / v_w3 Mo/yr where v_w3 is the speed of the
wind from the progenitor in units of 10^3 km/s. This mass loss rate is similar
to that inferred for the progenitor of SN 1998bw which has been associated with
GRB 980425. Our data, taken in conjunction with the HST results of Bloom et al.
(2002), provide a consistent picture: the long duration GRB 011121 had a
massive star progenitor which exploded as a supernova at about the same time as
the GRB event.
