The difference between a .dmg file…: Apple Support Communities explains a bunch to me. Basically, if you want to get a disk image, the Mac way is called .dmg. The PC way is called .cdr or .iso (they are the same).
The Apple Disk Utility has a conversion that lets you swap. Just double click on the .dmg or the .cdr or .iso and it mounts. Look at the left pane and click on the .cdr, .iso or .dmg. Then click on the Convert button at the top and it will do the conversion. When you convert from .dmg to .iso, you actually create a .cdr and then manually rename it to .iso.