Double-click the macOS_Sierra_10.12.dmg file. A new volume named "Install macOS Sierra" will appear in Finder.

is only the first step. You must "extract" the actual application to your Applications

is downloaded, you cannot simply copy it to a USB. You must extract the application: Double-click the downloaded file to mount it. Open the mounted disk image and double-click the file inside (e.g., InstallMacOSX.pkg Follow the prompts. This will install the OS; instead, it installs an app called "Install macOS Sierra" Applications 3. Create a Bootable USB Drive

This is the safest method as it downloads the official, unmodified installer directly from Apple's servers.