DNG is the cross platform version of a RAW file, RAW file are specific to a manufacturer and even to a specific model of camera, DNG files are not.
A few manufacturers such as Pentax allow you to save your RAW files in this DNG format in camera, the big advantage is that any version of Photoshop can open them, you don't need to have the version of PS that your camera would otherwise need.
The RAW file in any format is just the image data and is read only, you can't write to it, it's impossible to overwrite a RAW file.
The XMP (not XMB) file is the file that stores any editing changes you make, there is one associated with every RAW file. If you go to the View menu in Bridge and select the 'Show Hidden Files' the XMP file will appear alongside any RAW file. If you delete this file you just delete any changes you have made to the file the original image data is in the RAW file. It's a quick way to erase changes when you get it wrong. A new XMP file will be generated when you open the Raw image again.
You can associate an XMP file to any image file no matter what it's format, even Jpeg. By highlighting an image file in Bridge, right clicking and select 'Open in Raw Converter' in the drop down menu. PS will treat the Jpeg (or any other image format) as if it was a RAW file and store any changes made to the image in the XMP file. Editing in this way will always preserve the data in the image file.
Chris