You cannot stop the Hard-Drive like icon, it's supposed to happen and is the disk image of the program that you downloaded.
Double click it and and follow any instructions or just drag the contents to your Application folder.
Once you have done that, put the HD like icon in the trash.

If you were to tell us what snergy actually does, then maybe we could help.
Maybe you could take a look at their website and find the answer.
According to the Source Forge site, snergy does not work well with a Mac but given the size of the iMac keyboard, it should not get in your way.
Did you get the Wireless keyboard and Magic mouse or did you opt for the wired version?

Oh yes, a KVM switch would be much less hassle and would work. As an aside, so would running Windows on the Mac.