How do i install Mac OS with a .dmg file on my mac pro?

You may burn your image file to be able to use it.

You should consider "burning" Mac OS on a flash drive, boot from this flash drive, and perform install.

If Nero doesn't support dmg, don't worry, afaik you can just rename a dmg as a iso (change extension).

What computer do you have at your disposal? Which system do you want to install?

There are tutos on the net on how "burning" an image on a flashdrive without nero, and making it bootable.

Anyway, when starting your mac, holding ALT key will allow you to choose from any available system.

http://www.macworld.com/article/2056561/how-to-make-a-bootable-mavericks-install -drive.html