I'm not really sure what you mean by 'files are not highlighted'. Is this only occurring with Flash Player DMG files or other DMG files?
You can also post a screenshot of the behaviour your observing (The specified item was not found.)
The files that are in a dark print can be clicked on and loaded. All of my .dmg files are a light gray and nothing happens when I double click them. I have never tried to open a .dmg file before, so I do not know if other files will open.
I am trying to post a screen shot, but I do not know how. I can not find "finder." as per your screen shot directions.
I do not see "screen shot" when I click on the "file" tab. As you can guess, I am a new MAC user.
If this is happening for ALL of the DMG files (not just Flash Player) then it indicates an issue with your system. Possibly permissions issues or something outside the scope of this forum. Have you tried posting your question in the Apple forums?
Finder is the app that provides access to all your apps. It's the equivalent of Windows Explorer on Mac. It's always displayed on the Dock (unless you removed it) on the left-most by default.