Likewise I've never seen a song stored in dmg format. But if you have Roxio Toast, see if it will load & mount. Depending on the version of Toast, Toast 6 you can open the Audio tab & drop the audio image into it. Or otherwise choose Copy & open the advanced window & choose Image File. Or alternatively just drop the dmg on Toast. (In Toast 5, choose Other & Disk image.) Toast & Jam can create audio image files but they don't normally use the dmg extension. Being dmg, the idea of using the audio tab might not work. Are you sure it's a song?

There's more than one reason a file can become damaged. If you downloaded it a 2nd time & it's still not working then as arne_bab said, it was probably already corrupted at its source.

And if you did upgrade to Panther, you wouldn't regret it. It's a great OS.