I'm a bit confused why you should find dmg files opening as exe files. If they are executable programmes they will only open on windows ... or of course Virtual PC.. some exe files are simply zip type wrapped files which may contain items useable on Mac see
http://echoone.com/filejuicer/formats/formats.php?f=exe for details of File juicer which will take anything on a Mac and break it down into its components.
I shall check this our further .. and try to get back to you later with a bit more information
