Think Free Online is a web based application that serves as a sort of an online Open Office or MS Works suite. DOCZ - ThinkFree Online Note Document refers to the file format created by the application. This is a "note" which stores things like layout, graphics and text for a memo or other informal message as opposed to a whole presentation or a spreadsheet or what have you.
DOCZ files are only compatible with ThinkFree Online, so you will probably want to use ThinkFree as your primary online office suite if you plan on using it extensively at all. Future releases and updates may make the file type convertible or compatible outside of the ThinkFree Online space, but that remains to be seen.
In any event, Think Free Online is versatile, user-friendly and convenient. You can access your ThinkFree account anywhere in the world just so long as you have your files uploaded. The Note documents are great because they allow you to save information in an informal way so that everything doesn't need to be a big production, you can simply write a few notes down and get on with your day.