Greetings to both of you:
varric & Drybonz
Welcome to Donationcoder.com and Circle Dock's little corner
What is happening, by Default:
When you create a new link in Circle Dock the link automatically get set to "Hide Dock on opening Files and Folders"
There is a second possibility to check:
In the Settings; Check to make certain that that the following is not checked.
Either one of these will cause Circle Dock to disappear after anything is click in Circle Dock
Hope this answers the question; If not let me know, and we will explore if there is anything I am missing