As the question said how do i do this? Thanks

Do you mean.. how to add an shortcut to the rocketdock?? if you mean that, just drag the shortcut, icon or however you call it to the rocketdock  

Nope i downloaded icon but it does not show up in rocketdock when i click icon settings

In RocketDock , you have to select whole directory of icons to choose any one of them for a particular shortcut, it won't let you browse for individual icons (as ObjectDock does) , make sure that you are selecting the right directory I would have posted screenshots but I don't have RK right now , if you still face problems , just tell me and I will do that for you

Welcome to CrXP BTW

Thank you for the welcome, and tyvm for the help it worked!

You seem to know a lot about rocket dock so I need your help. I set an icon to open windows live messenger and it opens it fine, but when i click minimize, it doesnt make it disappear into the icon, instead it makes a new icon. Any suggestions?  

 
Correct me if I am wrong but I believe what you are saying is that when you minimize MSNIM while running rocketdock it minimizes to the bottom right of your dock even though you have launched it from a shortcut icon on your dock. This is a feature of most dock programs that minimizes running programs to the dock. You can change this setting by going to
 
Dock Settings > General (Tab) and unchecking "Minimize windows to the dock" however, if you do this all windows you minimize will no longer be shown in the dock.
 
In the future please start a new post with questions so that information that may be useful to someone else who has the same question is not lost at the bottom of an unrelated topic. This helps keep CrystalXP the most useful skinning site on the planet!!!
 
 

 
That's how the Rocket Dock is designed I'm afraid   ( Tip Just open my Documents from the Dock & try minimizing it - it will behave as the same )
 

You're correct on what you're saying but not exactly what the question expect