ok...this should be clear, but if it isn't and you need clarification just IM me (Hey15Bob on aim and yahoo!)
When you installed Object Dock, if you used the default directory, it was installed to "C:\Program Files\Object Dock" (i think) otherwise, it is "C:\Program Files\Stardock\Object Dock". In the directory where you installed object dock, create a folder and title it whatever you like ( I titled mine "My Collection"). Whenever you download icons, store them to this folder. Make sure to unzip them if they are in .zip format. When you download new backgrounds, place them in the folder named "Backgrounds" in your Object Dock directory. Clocks are just .png files and can be stored in the folder you already created or you could make a new folder to store them (just make sure it is in the object dock directory)
To create a new shortcut, drag a shortcut from somewhere else to the dock and drop it where you like, or click the configuration utility, then click "Create->New Shortcut". If you dragged it to the dock, you will have the default icon for the program or shortcut. To change this, right click on the object and a box will pop up. Click change picture and find the icon that you want. If you want to change the name that is displayed when you mouse over, just enter what you want in the title field.
To delete an object from the dock, either drag it off the dock, or right click it then click "Delete Item".
If you want to change the background, that is done in the configuration utility. You can also change the size and opacity of the dock in the same place, as well as many other things.
Be sure to save the theme once you get it the way you like it. Otherwise, when Object Dock is closed, you will lose everything. Do this by opening the configuration utility and clicking "File->Save Dock Theme As" then selecting a name for your theme.
As for creating your own icons, object dock icons can just be .png image files.
I do not know how to create a custom background yet, but I would assume that it is simple enough.
Well anyway, hope this was a help.
