Sorry to be so late - but better late than never.
First - you can not upgrade by a download to 9.2. You need to purchase the OS 9 CD.
What browser are you using to get to the AOL web mail? Try downloading and installing Internet Explorer or the latest Netscape for you system.
.dmg is disk image. Go here for Disk Copy -
http://www.macupdate.com/info.php/id/288
Once installed, those files will open.