dmg files are regular mac disk images, I don't recommend filtering them out if you are seeking program files. Many mac programs on p2p networks are now using zip.

ALL exe files are windows only files. Setup is the installer.

When seeking mac programs, try to find those that say for mac.
eg: Spiller for mac.zip or Spiller for OSX.zip

Else, seek out a good bittorrent site & go to the mac section. Google the word p i r a t e or bay. I can't say any more due to forum restrictions.