Ok, see those shortcuts on your Desktop with the little arrows so you know they are shortcuts to files instead of the actual files? They too are files themselves, shortcut files that end with a .lnk file extension.
So, if you drag Pandora from the left panel of the Windows Start Menu onto your Desktop, it will create a shortcut to Pandora on the Desktop named 'Pandora', right? This shortcut is really a file on your Desktop folder called 'Pandora.lnk', e.g.; C:\Users\<Your User Name>\Desktop\Pandora.lnk
Unfortunately you cannot just add it to ObjectDock either by drag & drop or via the Browse button in the right click menu Add Item option, as ObjectDock will automatically resolve the shortcut for you so the entry in the dock points to the target file itself instead of the .lnk file.
Sigh. So I was going to say you could *type* the full path name to the lnk file into the ObjectDock Dock Entry Properties dialog (e.g.; C:\Users\<Your User Name>\Desktop\Pandora.lnk) but I just tried it here and it seems that even when you *type it* ObjectDock automatically resolves the shortcut so it points to the target instead. As such my suggestion is not going to work.
Sorry for keeping your hopes up.