Not sure how a .dmg would end up with an .mpg suffix -- but if the file contents really are in .dmg format, simply re-naming the file to a .dmg suffix should do the trick. (If it's anything valuable/irreplaceable, I'd suggest making copy before running that experiment.)
An MPEG isn't a "disk image" (in the unix filesystem sense), so D.I.M. wouldn't know what to do with it.
I tried just clicking DiskImageMounter.app, but only got a "puff of mist" and no window -- pretty much what I expected. It's clearly not intended to be run as a stand-alone app, and probably requires some magical incantations/parameters at launch-time.
If you're a command-line hacker, you might find something interesting in the man pages for: hdiutil(1), hdid(8), load_hdi(8), and stuff like that.
...or search
http://developer.apple.com for DiskImageMounter documentation,
Looby