I have to work with
.dng files and it looks like you can do it in Blender, somehow.
As stated in this question, it seems that you can import them but I don't know how; how do I do this?
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It did not work in the link you provided. The bug was that the DNG actually crashed blender. The bug causing the crash was resolved, but DNG was still not supported.
There is a discussion here: http://www.magiclantern.fm/forum/index.php?topic=6457.0 about converting DNG to EXR which may be of interest to you.