It should be gone, it came along with something else possibly you installed and thus made a it appear as a volume that would explain why it appeared under Devices.
You should turn off open safe files after downloading in Safari preferences, this was likely driveby malware that just downloads by visiting a site and then appears on the desktop.
It sounds like you just had the installer on your hard drive, which has been downloaded via some tricky means lately. So it could easily have ended up in your Downloads folder.
Fortunately, you would have to open that InstallGenieo.dmg file, then run the installer that it contains, in order to install the software. If you didn't do that, it's not installed. If you're not sure whether you did that, note that it would be pretty evident that it was installed, as your web browser's home page and default search engine would be changed.