The man compares himself to the Roman god Mercury as he runs along the top of the snow.
After the man feels to build a fire, he notices that his arms and legs are freezing and his fingers and toes are already frozen. He decides to run, because running makes him feel better. As he runs, he imagines himself as the Roman god Mercury.
He seemed to himself to skim along above the surface and to have no connection with the earth. Somewhere he had once seen a winged Mercury, and he wondered if Mercury felt as he felt when skimming over the earth.
Mercury was a Roman God who was said to run very fast, almost flying. He was messenger and escort to the other gods. The man comparing himself to Mercury at the moment he is dying is ironic because he is actually not invincible.