The files having GADGET extension are developed by Microsoft. They are small applications which run on Windows Vista sidebar. These applications store many web-based files in ZIP archive format. They might include CSS, JS or even HTML files along with some other web files that are used for smaller programs like search tools, small games, system utilities, news feeds along with other such programs.
Some other types of gadgets are Web gadgets and Sideshow gadgets. Web gadgets are placed on web pages and sideshow gadgets are used on cell phones, digital picture frames and other similar devices. GADGET files may be downloaded from the open source Windows Live Gallery. As they are saved in ZIP format, it is possible to rename the extension to ZIP and you can also open them using any of the zip compatible decompression utilities.
The file extension DMG was created by Apple. A disk image which is developed in Mac operating system X has some raw block data normally compressed and sometimes encrypted. This data is used commonly for Mac operating system software installers that are downloaded from the web. The disk image mounts a virtual disk onto your desktop when it is opened. DMG extension replaces the older formats of IMG files that were used in Mac OS Classic and were not compatible with the OS Mac 9 and earlier. DMG disk images may be opened by an Apple Disk Utility which comes with Mac OS X on Apple computers. DMG files are specific to Mac computers and are not used for Windows. But the Windows daemon tools might succeed in mounting the virtual drives from some DMG files.
So, GADGET and DMG files are created by different makers and they are used for different purposes.