IE windows will minimize to RocketDock if you open IE from there when having the minimize to dock box checked off. As for Windows Explorer, Control Panel, and other things those will still minimize to the taskbar only!
Another option might be using the Better Explorer or other file browsers for Windows seen in the last 5yrs. or so. But for Windows Explorer, Control Panel, and some other things those are part of the Windows shell. The main gui file itself is the explorer.exe file.
You can't simply do away with the taskbar completely for minimizing things while you can set it to auto hide itself when not wanting it dosplayed.