I had a similar problem on Panther. I downloaded some 3rd party program, but I couldnt delete it because the permissions were not set correctly.
Try Cocktail if you still have problems, but it sounds like the .dmg is still mounted, like Turias said. You have to "eject" it first, although it isn't really something that you can eject physically. Just drag the picture of the mounted .dmg file to the trash and instead of the bin you should see the eject symbol.
My apologies if you have tried all of this already
