Your Mac chimes. The file lands in your Downloads folder.
Until HP fixes their digital certificate signing (which is likely the real culprit here), do yourself a favor: The HP Smart DMG is a relic. You don't need it to make magic happen.
Right-click the DMG file. Do not double-click. Right-click and select Open . macOS will give you a scary warning, but it will include an "Open Anyway" button. Click it.
You double-click it. Nothing happens. Well, technically, a weird icon pops up saying: “The following disk images couldn’t be opened. Reason: Not recognized.”