Depends where you got the DMG from. If you got it on like Limewire or P2P/torrent, it might not be bootable...aka it might not be an exact copy of the CD and it might just be the app.
Yeah...You might want to try to burn the dmg file using Disk Utitly by creating a disc image...Anyway, why do you wanna boot from a cd to play the game? You need to boot from the cd to play the game?