Nabs wroteYou'll need another disc. The dmg can be used for upgrades only. You cannot boot from it.
Nabs wroteBut with Mountain Lion, it doesn't seem to work.
You can create a bootable flash drive using the InstallESD.dmg and Disk Utility, even on Mountain Lion. Many articles cover the steps:
https://encrypted.google.com/search?num=20&hl=en&qscrl=1&q=bootable+dmg+mountain+lion