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).