What version of Circle Dock are you running? If it's 0.9.2.6 and you downloaded it from this site, then I will investigate this further. However, a new version, 0.9.2.7, will be available from this site either later today or tomorrow.
I test Circle Dock on Windows XP, Vista and Windows 7 and I must confess I'm not seeing the issue you raise. There was a problem in adding shell links (LNKs) from, for example, the Desktop in that they weren't always being parsed correctly but that is fixed (partially in 0.9.2.6 and fully in 0.9.2.7).
Mark