OS X :: Minimize Applications To The Dock?

I'm new to the Mac and have been getting used to it quite nicely, but there's one thing that I peeves me just slightly. That one thing is that whenever I click somewhere that is off the application I'm using, it just disappears into the background and there's no minimized icon of it on my dock. Now if I hit the orange minimize button manually it will minimize off to the right side of my dock, but I would like to know if it is possible to somehow get the same thing to happen automatically when I click somewhere off the application I'm using.

This mainly annoys me on my MSN conversations. A lot of times, I've clicked on the video I was watching. Paused it to go do something and then when I was done watching the video and wanted to start chatting again, I find out that my friend had said something and I missed it. (My MSN dock icon only jumps up four times before sitting still).