Go to your finder window and look under applications in the left window. You should see messages as you scroll down on the right side of the window.
While the app is open and the icon appears in your dock, right click (or tap with 2 fingers, that's how my trackpads are set up) this will bring up some options for the app, click where it says save to dock (or something to that effect). That'll permanently keep the app on your dock until you remove it.
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