I have set my RocketDock at the bottom, and extended the Windows XP Taskbar up so that the dock rests just below the open application buttons.
The dock is set to 'Always On Top' but if I click on the Taskbar, the Taskbar moves to the top and the RocketDock disappears. I have the dock set to popup, that is how I get it back on top.
The Taskbar is set to 'Always on Top' as well and obviously the two are fighting for superiority! Probably there is nothing to be done but I thought, it doen't hurt to ask.