There are a few similar stones dotted around northeast Lincolnshire but I hadn'd come across the Immingham one before. There another picture of it here -
Information about the stones is thin on the ground but they seem to be regarded as glacial erratics and as large boulders are so rare in the area they have ended up with names and legends attached to them, mostly to do with the Danes. Quite a few of them seem to have moved around over the years too.
The 'Sons of TC Lethbridge' website used to have a page about some of these stones but the site doesn't seem to be working properly at the moment. I think the link was this one- http://tc-lethbridge.co.uk/tekhs_journal/?id=131