to find the folder you first need to go to "my computer" then clik open,(you may need to unhide,look at left for "unhide contents" WARNING DO NOT DELETE ANYTHING OR ADJUST THE WINDOWS FOLDER
there should be a folder called "program files" open it and scroll thru till you find either "stardock" and open it and look for the OD folder or look for the objectdock folder if there is no stardock folder,once open you should recognise some of the folders =Images,docklets,url,themes
you can put your own folder inside the objectdock folder with diff pikkies of drives etc if you so wish and it will automatically appear in the od selection window as for themes put em in the theme folder and backgrounds in the background folder.
EDIT: JUST USE THE TUTORIAL PROVIDED IN ABOVE POST