Mac computer plus iso?

Hi, I just recently obtained a mac computer without an operating system. I have put in a new hard drive and i wanted to put OSX on it. Does the installation CD have to have the OSX as a dmg file or can the file on the disk be an iso file? Reason being is because the only other computer i have access to is a computer with Windows on it and Windows can burn dmg files onto a disk, only iso files.