That download for Lion is a multi-step process.
You get a file named "InstallMacOSX.dmg", which you would double-click to open.
That makes a folder named "Install Mac OSX", which has one file named "InstallMacOSX.pkg"
THAT file opens your installer app, but doesn't actually install Lion - just makes the installer app into its usable form, copying it into your Applications folder.
The other steps to create a bootable USB installer will probably work, but Lion is pretty old, and you would need Disk Utility in an older form (so that there is a Restore function), might work with El Capitan Disk Utility, but you would probably need an older OSX, such as Yosemite (OS X 10.10) or older. I still would use DiskMaker version 3, which does a good job, and makes the bootable partition "pretty".
diskmakerx.com
Scroll down that download page, and get DiskMakerX version 5.0.3