Boot from it by restarting and holding Option (⌥), then choose the USB device.

If you are on a Mac running Catalina 10.15 or later, use this command to fetch the full 10.15.7 installer: softwareupdate --fetch-full-installer --full-installer-version 10.15.7 How to Create a Bootable DMG or USB

If you specifically need a DMG file for virtualization (like VMware or VirtualBox) or archival, you can convert the downloaded app into a DMG using Terminal: macOS Catalina dmg file download for old macbook pro