I've got the preference set to "Show applications in dock", and I have the same challenge as Billy Shears.
Some Windows apps show up in the dock, allowing me to add them to "Favorites". Pretty cool.
Other Windows apps do not show up in the dock, even though they do show up in the Windows task bar. What does show up in the dock is something called "Desktop Windows Manager", with no reference to the app that shows up when you click on it. Frustrating.
How can I get a Windows app that does not show up natively in the dock to do so?