DMG files are so-called disk image files, so image files of media such as CDs and DVDs but also simple folders and are used exclusively on Mac OSX. Dmg files can be password protected and the data can also be compressed. They are therefore gladly used for important and sensitive data as well as for the distribution of software.
Unlike opening an archive, opening a DMG file displays a new virtual drive in the Finder, which you can then access as a DVD or hard drive. In addition to individual image files, there are also split, so-called bundle images, which can consist of several files.
Since the DMG format is an Apple Mac specific format and a function of the operating system, there is no need for additional software to create and use DMG files. There are of course additional software that can read DMG files.
If a DMG file is to be used under Windows, it is possible to integrate these files as a virtual drive, for example, to extract the data with 7-zip or to convert it to another format (eg ISO) using a converter. An ISO file can then also be integrated, burned to an optical disk or "unzipped" with a program such as 7-Zip or Winrar.
However, it is not always guaranteed when extracting that every DMG file is understood, especially if the file is password protected.