Most USB flash drives already use this format, but if yours doesn’t you can quickly format it in Windows. If the file has been downloaded to a Windows PC, you will need to make sure the USB flash drive is formatted in FAT32 - a format that both the Windows PC and the Mac computer can both read. Because these files can often be a few gigabytes in size, a USB flash drive is usually the fastest way to get the file to your Mac computer.
Disk Images, or DMGs, are a common way to compress large files on Mac computers, including apps.