Trouble opening DMG files

Hey,

I'm trying to open a DMG file on my mac. It's for a VPN so I could use it when I go abroad. Last time I used a VPN on my PC and it worked just fine, but now when I got my mac (which is about a month old as of today...yay! ) I'm having trouble installing the VPN.

I opened a DMG file when I needed to install chrome and there were no issues with that. Now I'm trying to install the VPN with the DMG file but it doesn't open. All that happens is that I click on the DMG file, and then it doesn't respond. I'll go to my downloads folder in the doc and it won't do anything. No response. Same for when I try to open it from Finder.

Any ideas on what I could do to open a DMG file on my mac? Someone said to open Disk Utility and do a repair check but even after that it still doesn't seem to be working :/

 

It was from my college's school website. It actually worked on my PC last night when I tried it. I thought maybe it wouldn't open because of the file but it seemed to work fine on there without any hassle.

 

Oh, hm. My friends with macs seem to have been able to download the VPN without any issues either. So I'm still a bit confused on what's going on... I tried google searching this and a few others have had the same problems, but I haven't found any answers from the google search, just concerns like mine. Any suggestions on what I should do?

 

I've tried downloading and re-downloading. No luck yet, unfortunately. It also says I could try to do a web-based download. It says I need Sun Java. I tried getting that but it says I can get java by using software updates, but I'm not sure how to go about getting it...