From What Is the File Extension Sgm?
Programs that can save files in the
.sgm format and also can open .sgm
files include Panorama SGML viewer,
Adobe Framemaker, and Corel WordPerfect Office X4. These programs
are only available on Windows-based
An old version of the Panorama SGML viewer can be found in here, but it dates from Windows 3.1 and as it is mainly meant as plugin to browsers that no longer exist, this free version refuses to open files.
The best you could do is download trial versions of the other products and try to convert the SGML files to some more modern format, in the hope that they still support that format.