What does it mean when an item in my dock shows up as a question mark?

I had this problem when I downloaded Firefox.  I don't know what I did, but the logo shows up fine now.  However, I downloaded a program called GIMP and -while I can get it to work- it still shows up as a question mark in my dock.  When I click on it, the icon shows up, but when I restart it goes back to a question mark.  Did I miss a step?  Should I reinstall?  I am lost.

This suggests that the application's being launched from a disk image. Drag it to the internal drive and from there to the Dock.
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