I think there is a fundamental misunderstanding here. A .dmg file is a disk image, i.e., a mountable file in OS X that can be addressed as if it were an external disc. It's NOT an "image" in the sense of a picture, or photo, which is what Adobe is for. So, to get your .dmg file to open properly, all it should take is to double click on it and it should mount. However, if you have somehow associated all .dmg files with Adobe, then when you double-click, Adobe will launch and give the error message. To stop that from happening, right click on the .dmg file (control click) and then Get Info. In the window you will see what the default application is to open the file. It should say "DiskImageMounter" as the default. If it says anything else, click on the lock in the lower right corner, enter an admin password and then click in the block where it says "Open with" and change to DiskImageMounter. Now just under it click on "Use This Application to open all documents like this one" and from now on a double click will mount the .dmg.
If you are coming from Windows, .dmg files are like .iso files in Windows. (BTW, .iso files can also be mounted with a double click in OS X)