dmg file will not open

I just purchased a macbook air yesterday so I am new to the MAC. This may be something simple. I am trying to load some adobe programs but when I click on the dmg file nothing happens. The other apps I have installed pop up and say drag to app folder or uncompress to where I can run the install and there has been no issue up until now. I click and litteraly nothing happens so I am not sure what is going on. I also tried disk utility app and ran the disk verify. Everything checked out fine:

Verifying volume “Adobe Illustrator CS5.5”

Checking file systemChecking Journaled HFS Plus volume.

Checking extents overflow file.

Checking catalog file.

Checking multi-linked files.

Checking catalog hierarchy.

Checking extended attributes file.

Checking volume bitmap.

Checking volume information.

The volume Adobe Illustrator CS5.5 appears to be OK.

I then ran repair disk to see if that would help but I get the same result when I try to run the dmg file:

Verify and Repair volume “Adobe Illustrator CS5.5”

Checking file systemChecking Journaled HFS Plus volume.

Checking extents overflow file.

Checking catalog file.

Checking multi-linked files.

Checking catalog hierarchy.

Checking extended attributes file.

Checking volume bitmap.

Checking volume information.

The volume Adobe Illustrator CS5.5 appears to be OK.

Volume repair complete.Updating boot support partitions for the volume as required.