Macs can read standard PC CDs. If you're running XP then you can just use Explorer's CD burning to make CDs that the Mac will be able to read.
As far as burning .DMG files, Nero can burn some of them if you change the extension from .DMG to .ISO (if the .DMG was saved as CDR/DVD Master in Disk Copy then Nero will recognise it as an HFS-formatted image). Failing that, just put the .DMG files onto the CD in a folder.