I've been doing some trouncing around with files that reside on a Mac OS X computer and have had a need to be able to read .DMG file whose file system is HFS. One problem, though, is that Windows XP does not natively support it.
After mulling through a dozen or so applications (both free and commercial) and one seems to stand out above the rest (mostly 'cause it works and is free). HFSExplorer is what it's called and does a pretty good job of being able to read DMG disc images without any hitches. If after trying this out and you're still having problems, give WinRAR a try, it can read some, but not all, DMG images.