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A .dmg is just a disk file, used primarily by Apple to distribute software. Simply double-clicking on it in Finder will open it up, or you can use Disk Utility.

TEG
 
I'm not familiar with fusion, so not sure, but a little googling shows that other folks have trouble with this. Looks like a workaround is to mount the DMG in OSX, share that mount point, then mount that shared folder through the VM.

I use Parallels and it does natively mount DMGs.
 
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