The dmg "container", regardless if it's stored on a CD or downloaded from internet on your Mac, has to be firstly opened through a double click on it.
Just to be clear: to open it means to access its contents to be copied in your Application folder. To some extent is similar to a ZIP archive.
This is a video I found quickly on YouTube is addressing the mentioned operation. It has nothing to do with TurboTax, of course. It's just an example of how a dmg file and its contents is handled:
https://www.youtube.com/watch?v=khp8ihfiFZM
Basically, the steps are the following:
Double click on the dmg file -> Drag the showed contained app somewhere on your Mac (usually it's the Application folder) -> Double click on the just copied app in the Application folder to launch the app
Sometimes the dmg contains an installer rather than a ready to use app. In this case the installer is executed (again with a double click on it) to launch the installation process which installs the app following an automated procedure. When the installation is finished the usable app is found already copied on your Mac.