You are not doing anything wrong.
I got the same warning message with the Lion DMG update downloaded from here
If you are in a hurry to install the Java update you can do so via the standard Software Update.
I succeeded in updating Java on a Snow Leopard machine without any warning message with the corresponding DMG
I'm holding the update trying to understand the problem.
I'm running Mac OS X 10.7.3 on a Mac mini (2.5 GHz Intel Core i5).
Software Update does not offer me Java for OS X Lion 2012-002
Preferences->Installed Software does not show any Java updates installed.
When I download from http://support.apple.com/kb/DL1515 instead of a 66.9MB file I get a 63.8MB file (every time) and it gives me the error "There may be a problem with this disk image. Are you sure you want to open it?" when I open the DMG.
I think Apple needs to provide a new disk image for this patch.
The problem stems from "minor header corruption" in the dmg during verification (fsck) of the dmg. Using software update is probably the safer route at this point until Apple corrects the DMG. The SHA1 fingerprints match what Apple has posted, so if you feel "ok" with using the downloaded DMG versus software update, then go ahead and run hdiutil attach -noverify <path-to-javaforosx.dmg> to bypass the warning, or bypass the warning in Finder when you open the .dmg file.