I had a similar issue with a DMG file sitting in Places within my Finder. I couldn't seem to delete or remove the file - regardless of what I did. Same as the person above, when I right clicked on the item, it brought up the preferences for finder. If I double clicked on the item, it told me that it couldn't find the file.
I am assuming that somewhere along the line, I installed the software, somehow dragged the .dmg file into the places section and then had deleted / ejected the original DMG File -- leaving the file in my places.
After thinking about it a bit, I went searching for the original file on the net which I strangely couldn't find. It was some random installer for WebEx software that I think auto installed when I participated in a webex conference.
So, I tried to trick it. I renamed another .dmg file to the same name as the ghost file and then double clicked to open it. The .dmg file showed up in my 'devices' section -- actually with the correct .dmg info, not the renamed file.
HOWEVER, now when I right clicked on the ghost file, it gave me the option to remove the item from the sidebar -- which is what I wanted to do. I then ejected the .dmg file and problem solved.