Copy the launcher from the GNOME Menu, or /usr/share/applications/nautilus-browser.desktop to a (hidden) directory within your home folder.
Edit the launcher to start "nautilus --no-desktop --browser ." and drag it to Docky (make sure Nautilus is not already displayed).
Don't delete the launcher.
This worked for me, on Arch Linux:
Copy the launcher from the GNOME Menu, or /usr/share/ applications/ nautilus- browser. desktop to a (hidden) directory within your home folder.
Edit the launcher to start "nautilus --no-desktop --browser ." and drag it to Docky (make sure Nautilus is not already displayed).
Don't delete the launcher.