Mine does this and I don't want it to. In the dock prefs, I have it aligned to the left. I then made my right screen my main monitor. This puts the menubar on the right monitor and the dock on the left side of the left monitor.
I actually have 3 monitors hooked up now [4 was too many] but I don't think that should matter.
Mine does this too.....I want the dock to be at the bottom right of my main monitor, underneath the desktop drive icons, but since my second monitor is placed to the right of the main when I choose right side the dock ends up at the right of the second monitor.
Ideally, when you open the monitor control panel and go to the position tab you should be able to choose which screen the dock goes on just as you do with the menu bar.