We discover a break in the GRB 011121 afterglow light curve after 1.3 days, which implies an initial jet opening angle of about 9 deg. The SED during the first four days is achromatic, and supports the jet origin of this break. The SED during the supernova bump can be best represented by a black body with a temperature of 6000 K. The deduced parameters for the decay slope as well as the spectral index favor a wind scenario, i.e. an outflow into a circum-burst environment shaped by the stellar wind of a massive GRB progenitor. Due to its low redshift of z=0.36, GRB 011121 has been the best example for the GRB-supernova connection until GRB 030329, and provides compelling evidence for a circum-burster wind region expected to exist if the progenitor was a massive star.