On their website, they explain how to locate certain files on your hard drive. If it doesn't work automatically, you have to open up the plist and tell it where the directory of your documentation is located. I believe you have to actually have the documentation on you disk, it doesn't search the net site.
McFan26, where are the Java documentation located? I can't find them in /system/library/java. However, there is a JavaConfig.plist located in that folder. Is that the plist file for the Javadoc Dashboard Widget?