That docky anchor stays on the far left no matter what! In my mind that is a spot for launching programs
 I get that the anchor is the docky "branding", but the function of the button is only to configure docky, which you also get by simply right-clicking docky.
(Actually you can change the icon though - but that is another tip).
It would be nice if I could make that anchor display a program menu with a search function - and I found a way:
I needed to install gconf-editor (it will be in your repos). I opened it by clicking ALT+F2 and typing gconf-editor.
Then navigate to:
apps->docky-2->Docky->Items->DockyItem
Left-click on DockyItemCommand and enter the menu or program you want to start.
In this case I chose to start xfce4-appfinder
Problem solved
Here is a pic of my Openbox desktop with xfce4-appfinder attached to the Docky Anchor Icon