It's the Macs way of telling him it doesn't need an AV program.
Right click on the file > Get Info > Open with, change it to DiskImageMounter.app then click on the Change All button.
Window's programs won't open or install on Mac OS X.
His Mac has a better chance of having a hardware failure than getting infected with a virus, which btw there are none for Macs yet. A few malware, yes, virus, none.