I believe the error message you are getting just indicated a corrupt dmg file. Try downloading and installing it again and it should work fine.
So how can I properly install the JDK 7?
You can only install the 64bit version of Java 7, the only real downside is that it will not work with things like the crome browser, you can install it the same way as you first tried, download and install it from here: JDK Download
Is it dangerous to install it? Could it mess up all my settings
No, installing the JDK should not make any noticeable change, even if you run apps on it instead of your previous JDK/jar, they should still work. If you have older JDK's installed you can still use/select them in an IDE. If you do use crome then it should continue to work as normal using the existing/old JRE/JDK that you have installed.
knowing that I only want to use the JDK 7 to run some java project ?
The Java 7 JDK is backwards compatible, meaning it should run all existing java apps.
If you were worried about swapping between Java 6&7 then this thread may help: https://superuser.com/questions/490425/how-do-i-switch-between-java-7-and-java-6-on-os-x-10-8-2