Okay,let's take everything from start:
Install docky using
sudo apt-get install docky typed in terminal.
Run by typing
docky or via Accessories->Docky,which will give you as start of the output the text that you typed,but thats not all.
Make sure you have the latest libraries that must be installed to run docky(as found at the official docky site):
* bzr (>= 0.92)
* mono-addins, mono-addins-gui, mono-addins-setup
Then you should be able to run the program.