In previous Visual Studio versions it was possible to open a .dmp file. See link:
http://msdn.microsoft.com/en-us/library/fk551230(v=vs.100).aspx
But there's no option for VS 2012 in the version picker combo on that MSDN page. Empirically, I cannot open these files in 2012 Ultimate, the IDE tells me:
The is no editor available for 'C:\Windows\MEMORY.DMP'. Make sure the application for the file type (.DMP) is installed.
Is the fact that I can't open it and that there's no documented support a coincidence?
You have to install Debugging Tools for Windows, which are part of the Windows SDK. You can install just a standalone Debugging Tools, you don't have to install the whole SDK. See for example these resources:
You can download Standalone Debugging Tools for Windows or the whole Windows SDK.
If you need just to quickly inspect a minidump, you can use the great small utility BlueScreenView from Nirsoft. It's simple, doesn't even require an installation or any dependencies (you don't need Debugging Tools) and can display everything what a minidump contains. It's better for just finding out possible causes of BSOD, for any further debugging use Debugging Tools.