Hello
CDG is an acronym for Compact Disc plus Graphic. Files that contain the .cdg file extension normally store raw image graphics.
The images in CDG files are usually low-resolution graphics that are used with an audio file for a particular track on an audio CD. Karaoke programs commonly use these CDG files to display the lyrics and graphics when the Karaoke program is playing a particular song.
The audio data is usually stored in different file(in MP3 or CDA format). There is an information the CDG is also able to store the audio data. But looks like this is not your case.