Can not open DMG file ... a Cautionary Tale

Recently obtained a CD with a new OS X app.  I double-clicked on it, but nothing happened.  So I double-clicked on it again.  This time I got an error message saying: "Can not open a Windows program." Tried double clicking on it again.  Same message. I was non-plused! Tried several more times.
Before putting a call into Apple Care, I started closing the windows on the screen.  When I closed what I thought was the last window, 1 Dialog Box appeared that had been behind all the other windows.  It stated: "Please enter your Serial Number".
Two obvious questions:
1. Why was the dialog box for a current activity, hidden behind all other windows?
2. Why, when I tried to execute it again, did the dialog box not come to the front?
Perhaps I am the only 27" iMac user with many windows open at a given time?   Don't know ... but please be cautioned.
Chuck

I have many programs open all the time, Safarie, Finder. Mail, etc., and use 8 different Desktops. If this were the problem, it would have occurred long ago.  The program I was trying to install was from Adobe: Photoshop Lightroom. 
a brody wrote:
...  Either way, the program in question should know to switch desktops when activated.  ...
You are right.  I shall contact Adobe and, at least, make them aware of this.
Thanks,  Chuck

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