old thread but...does the .dockzip create or drop the images in the All Users folder somewhere and that is why you can't find them in "My Documents"? I would test this but I'm not in front of my home PC...and I don't want to mess with .dockzip.
I'm not sure about how it works with Vista or W7. But with XP when you click on a .dockzip folder it creates a new "Stardock" folder with 4 other folders in that in "My Documents" and and dumps the backgrounds there. This is the main reason I myself don't use the .dockzip method...not wanting extra folders created where I don't want them. Using the .zip method it's a simple matter of opening the .zip file and then sending the docks to the "Programs/Stardock/ObjectDock/backgrounds folder. I'm sure in Vista & W7 it has an added folder in there somewhere. But all the extra background folders aren't needed. "All" backgrounds can go in one folder rather than 4 and they work and it's more organized.