File Extension DMG

File type: Disk Image File (for Macintosh OS X)

About the DMG file type:

If Windows cannot find the appropriate program associated with .DMG files, then your registry may have errors. Check your Windows registry for errors (includes file association errors).

In general terms the .DMG file might be described as the Apple version of a .EXE file and replaced Mac OS Xs .IMG format. As a disk image format the file maps a folder tree and its contents allowing the file to be virtually mounted on the computer as if it were a real drive. However the DMG format can be mounted as a drive irrespective of whether it is an image of an existing device or not, and is used to distribute Apple software.

Additional Information:
Although in theory you can download the file irrespective of the operating system you are using, you are unlikely to be able to install the software unless you are using a Mac, and have probably, therefore, downloaded the wrong version of the software you were looking to install.