You can burn some DMGs in Windows easily enough, but I'm pretty sure you won't be able to burn a compressed bootable DMG without first having a Mac to convert it to something more universal. In other words: I'd suggest just having that Mac-happy friend burn the DMG on one of his Macs (using Disk Utility).
Once you have the burned CD, you can boot from it by holding the 'C' key on boot, or by holding the 'option' key to go into the open firmware boot disk selection menu.
