With Microsoft Windows the "free" apps are bit harder to find. Although in my search for an application dock I did come up with a few, but RocketDock is one of the best free ones that I've come up with so far (if you have a better one, please share).
I've used a commercial dock before but when comparing with the RocketDock, I gotta say... if you have a slower PC then seriously RocketDock just Rocks!.
Minimum hardware requirements...
*. 500Mhz CPU speed.
*. 10MB of HDD space.
*. Microsoft Windows 2000/XP/Vista and 7.
*. Dock/minimize running windows to the dock (another thing that previously mentioned "Gnome-panel dock" can't do).
*. Live updated previews (vista only, for instance, say that you minimized a file copying dialog to the dock, then you can still see a small live preview of the percentage of copying process!, pretty useful).
*. Easily add/remove applications and folder shortcuts by drag-n-drop.
*. Auto hide.
*. Various effects.
*. Change size, change colors and few themes.
*. Add-on support.
*. Lot of other customizations are available.
So if you want to give it a try, then download it from here. Enjoy!.
RocketDock in action ...