Icon files have a *.ico extension, gif files on the other hand worl with ObjectDock.
TO put them in the ObjectDock library, naivgate to the ObjectDock installation folder [where you installed ObjectDock] and navigate into Bundled Images and open Misc Icons or Applications. Copy all the Gif files there, they will be added to your OD library.
Method 2: Maybe the icons you downloaded were in a zipped folder: in that case extract the contents to the Bundled Images folder in the OD installation directory.
To change the icon of any shortcut, file, etc. on the dock, right click it and select Dock Entry Properties> then select Change Images> It will take you to the ObjectDock image library [where I told you to install the icons] and you can navigate to the folder where you stored the images using the sidebar. If you know the name of the icon, use the Search feature on the top: for example, to search for a Microsoft Office Word icon, type the filename of the Word icon. It's really easy once you do it for the first time.
Enjoy, and don't hesitate in asking further