Once you have downloaded them. Unzip them first with Winzip or Winrar.
Then upload them into your Object Dock folder, wherever you installed it. Either just put it in there, or make a new folder for it in there. Then right click on the icons on your object dock.
Go to "Dock Entry Properties" and change the image. Just point to where you put those .PNG and .ICO files, the files you unzipped earlier.