On Windows, HFS+ can be read only with the aid of software such as MacDrive or MacOpener; it's possible to run MacOS 8.1 in emulation, but I know of no suitably old software that can open .dmg ...

I have a DMG file open and it's mounted (it's about 1.5Gb in size and full of documents) and yet I can't find the actual dmg file of it on my HDD! I've searched and looked and just can't find it.