I'm not sure what version of OSX you're using but that should work. And, in OSX world, I believe you're talking about the "Dock." When you click the icon with the A on it (I think that's a default "Application" icon") does Photo Mechanic indeed launch? If not....
The way I usually get apps to stay in the dock, is to launch them from the Applications folder, then right click (or control click) the icon in the Dock while the program is open, go to Options and select "Keep in Dock"
Hope this helps,
Mick