This is a Melbourne Water area called an Air Treatment Facility at the Eastern Drop Structure.
Clear as mud so far? We thought so too.
Evidently the ATF (I think they were running out of letters for the sign!) will remove gases from the Hobsons Bay Main sewer which will improve the air quality in Westgate Park and surrounding areas, and protect the sewerage system from corrosion.
Can't say we ever noticed the smell around here (not like at the pumping station across the river!), but it sounds like a good idea to us.
It was completed early in 2014.
If you are keen on more information try:
http://melbournewater.com.au/whatwedo/projectsaroundmelbourne/Documents/ATF_Fact_Sheet_-_Project_Overview.pdf