I can't answer all your questions but maybe this will help a bit. When you download something it will most likely want to got your download folder. Using firefox you I think have the option where to save it. I don't think you asked this and most likely know this.
When you download an OD file it will usually be zipped an dinside a folder. Just unzip it and place the folder here C:\Program Files (x86)\Stardock\ObjectDockPlus2\Backgrounds -- Don't worry about the sub folders just put the folder there. If there is more than one type of docks, - tray, zoom, etc. in the folder they will all show up when you open OD and go to change background. If you get a zip file that jusy has the graphics and .inf file jusy make a new folder name it, copy the files it there and place it in your backgrounds folder.
As far as going inot the wiki tutorials section many of them are outdated and actually some can't even be used they are so old and didn't keep up with the program changes. There are many of these that the graphics don't show which I agree are really needed in order to follow. Not 100% sure but when the site was done over a couple years ago I think all the graphics were not moved to the new servers. To chack that and make sure it isn't something on your end try this link. I know this link has graphics working as it's a newer tutorial. LINK
As far as not knowing what component it is as you say. The component is what you are downloading for the program you wish to use it on.If you download a windowblind it will be in .wba format. If you saved it as a file just double click it and it will install to the correct directory.
Default File Paths for windowblinds
C: drive is the most common, but if you installed WindowBlinds to a different drive, then the path(s) maybe different.
Windows 7:
Program Files (64 bit): C:\Program Files (x86)\Stardock\Object Desktop\WindowBlinds
Program Files (32 bit): C:\Program Files\Stardock\Object Desktop\WindowBlinds
Visual Styles, Textures, Wallpapers: C:\Users\Public\Public Documents\Stardock\WindowBlinds
Windows Vista:
Program Files (64 bit): C:\Program Files (x86)\Stardock\Object Desktop\WindowBlinds
Program Files (32 bit): C:\Program Files\Stardock\Object Desktop\WindowBlinds
Visual Styles, Textures, Wallpapers: C:\Users\Public\Public Documents\Stardock\WindowBlinds
Windows XP (32 bit):
Program Files: C:\Program Files\Stardock\Object Desktop\WindowBlinds
Visual Styles, Textures, Wallpapers: C:\Documents and Settings\All Users\Documents\Stardock\WindowBlinds
Hang in there as these are great programs and you will figure it out. Hopefully someone that may be able to help with additional questions may pop in here. Being a weekend it's a bit slower here and also it's a vacation month. someone will be around.