Open Command Prompt (Start CMD)
diskpart list disk select disk X (where X is the number of your USB flash drive) clean convert GPT create partition primary
Now you can download a program to transfer dmg image to USB.
Transmac can be downloaded from AcuteSystems.com at http://www.acutesystems.com/scrtm.htm
Use any method you like to download MacOS X Version you want. Torrents seem to be faster though.