When you buy a new HD to use in your mac you need to reformat the disk for use in the mac.
In your case you would probably need to do this on another mac using Disk Utility to
format the drive as Mac OS Extended (Journaled) on a GUID Partition Map Scheme.
You downloaded the Mac OS X Lion installer.
This downloads InstallMacOSX.dmg to your Downloads folder.
The next section can only be done on a mac that is capable of running Lion.
This includes macs that have the potential to run Lion but have been upgraded to a newer OS.
A mac that came preinstalled with an OS later than Lion will refuse to do the next bit.
When downloaded open to InstallMacOSX.pkg, double-click on
that and an installation window will open, this does not install Lion
but converts the InstallMacOSX.pkg to the Install OS X Lion.app which
you will find in your Applications folder, it should be 4.7GBs in size.
(If the installation window asks which disk you want to install to, you must pick
the disk that you are booted to at the time. Not any internal or external disk that
you want to eventually install El Capitan on, that is for later.)
To install Mac OS X Lion you need to download this free app, https://diskmakerx.com/download/
scroll to the bottom of the screen and download version 3.0.4
follow the onscreen instructions to create a bootable USB flash drive installer.
Having created the bootable USB installer you restart the mac while pressing
and holding the option/ alt key.
In two minutes you should see the Boot Manager select the USB and press Return.
The mac now boots to the USB you should see a Utilities panel.
If you haven't already formatted the Disk for mac then you can use the Disk Utility
here to do so.
Click on Disk Utility and press Continue.
Highlight the Disk usually named after the disk manufacturer.
Click Erase.
Give the Disk a name.
Format : Mac OS Extended (Journaled)
I can't quite remember if the Lion version of Disk Utility gives you the option
of selecting the GUID Partition Map (newer versions do) or if it does it automatically.
Let Disk Utility walk you through it.
Once the reformatting is done quit Disk Utility.
Select Install OS X and press Continue.