When trying to launch (D)iagnostics, iMac shows gray screen with lightning bolt and USB icons

Just in time for my birthday...
Mid 2011 iMac with 10.6.8
Occasionally its fans would rev up to the maximum and stay there until computer is restarted or put to sleep. But today the fans were blowing (albeit more moderately) from the start. Previous solutions would not help and iMac would even put itself to sleep after a minute or less.
Resetting SMC didn't help, so I've tried to launch AHT while pressing D during the boot. It worked in the past, but now it showed gray screen with these two icons jumping around. On top of that, I couldn't find find both OSX and Drivers discs (facepalm). Luckily I had Lion install disc, so with it I launched Disk Utility and verified the disk. HDD itself passed, but OS partition was declared unrepairable and in need of format.
I have Time Machine, so I happily formatted and started installing Lion. But during install, every few minutes or even less, computer would go to sleep again. Despite that install managed to continue, but when it got to "Downloading additional stuff" part, progress stopped and countdown even started to go UP minute by minute.
I figured that every time iMac went to sleep (because probably it thought it was overheating) download had to start again and it would never finish. So I cancelled and restored Snow Leopard system from Time Machine. After booting from HDD, I verified it and it passed. But Diagnostics still won't launch.
Any ideas?

Apple Hardware Test comes installed on the hard drive by default, but it's deleted when you erase the hard drive or you upgrade OS X.
In your case, you need the Mac OS X DVD. If you haven't got it, call Apple to get replacement discs > http://support.apple.com/kb/HE57
After getting the DVDs, insert the Mac OS X DVD and press D key while your Mac is starting to start Apple Hardware Test. Remember to run an extended test

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Launch Disk Utility in Recovery mode (see step 1.) Select your startup volume, then run Repair Disk. If any problems are found, repeat until clear. If Disk Utility reports that the volume can't be repaired, the drive has malfunctioned and should be replaced. You might choose to tolerate one such malfunction in the life of the drive. In that case, erase the volume and restore from a backup. If the same thing ever happens again, replace the drive immediately.
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Boot into Recovery again. When the OS X Utilities screen appears, follow the prompts to reinstall the OS. If your Mac was upgraded from an older version of OS X, you’ll need the Apple ID and password you used to upgrade.
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A dead logic-board battery in a Mac Pro can cause a gray screen at boot. Typically the boot failure will be preceded by loss of the startup disk and system clock settings. See the user manual for replacement instructions.
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If you get this far, you're probably dealing with a hardware fault. Make a "Genius" appointment at an Apple Store to have the machine tested.

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When trying to launch (D)iagnostics, iMac shows gray screen with lightning bolt and USB icons

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