Hey polished,
A dmg file is like a virtual disk - it's as if you put a disk into your machine, and Mac OS X will mount it just like any other disk. So just like another disk, a dmg will contain files on it that might be documents, applications, etc.
A zip file is an old staple of our Windoze habits and is a compressed archive. Windows works a bit differently, so it doesn't mount the zip file - it just decompresses (unzips) the contents. It's quite analogous to a .sit file, which is a StuffIt archive largely used in Mac circles.
You will also run into .tar and .tar.gz files. These are UNIX style equivalents of sit and zip, which is probably all you need to know to use 'em. They open quite conveniently with Aladdin's free StuffIt Expander.
Hope this helps.
