Total Newbie Question ... Sorry :-(

I know it's a windows thing, and I am now converted to Mac but I gotta know this because it's doing my head in. It's a complete stupid green gilled newbie question.
When installing new programs on a Mac can you create shortcuts to the programs on the Dock? I did what I THOUGHT it would be, i.e I made an Alias and stuck it in the dock, but on rebooting my Mac later on, in place of the shortcuts where 3 question marks which when clicked on did absolutely nothing???
Help?
A.L.I
Windows XP Pro Desktop, Macbook Pro, 60GB iPod Video   Mac OS X (10.4.5)   OS X

You aren't installing something from a dmg file are you? The dmg is a disk image – kind of a virtual CD. So when you double click the dmg and then get the little disk/hardrive/custom icon on your desktop that is the same as if you had mounted a CD. You then need to drag the application off of that "CD" into your application folder. Then it is truly installed.
You can then "eject" the icon your your desktop. This is what happens when you shutdown and without remounting the image your dock shortcut can't find the original.
Just a thought.

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