[sdiy] PSU grounding problem

[ganesha]

Hi,

I'm making my own psu for the first time. I used this schematic from Jürgen Haible:
https://dl.dropbox.com/u/28535891/jh_matrix_fx_power_supply_sch.pdf
If I measure the voltages with my DC voltmeter, everything seems to be ok. I have +15v and -15V.
However, I noticed that if I check the 0V/ground with my oscilloscope, I see a sinus.
Could it be that I connected the transfo incorrect?
I use this transfo : http://www.velleman.eu/products/view/?country=nl&lang=en&id=2516
It has 2 secondary windings:
red yellow
blue grey
It says that blue and red are both the start of the secondary windings.
I connected yellow and grey together (both ends from the secondary windings) for the 0V. Is this perhaps the problem? should I have connected both starts (blue-red) together or perhaps the end of the first secondary winding with the start of the second secondary winding?

Thanks for the help!