I got Nikon D5000 and a Sigma 70-300mm DG macro how can I get it worked.
If you can't get you Sigma 70-300mm lens to fit on your Nikon D5000, it is likely the lens is made for a different lens mount system than the Nikon F mount.
Sigma and many other lens makers produce many of their various lens models in multiple lens mounts. What this means is that for a particular Sigma lens design, such as a 70-300mm DG Macro, they produce a different version for each particular lens mount system for which they wish to sell the lens. They will almost certainly make one version that fits the Canon EF mount and another version that fits the Nikon F mount. They may also make a version available for various mounts from Pentax, Sony, and perhaps others.
Each mount system has its own way of fitting a lens to a camera. A lens made for one particular mount won't fit on a camera made using a different mount system. Sometimes an adapter can be used to allow a lens made for one mount to be used, with varying degrees of success, on a camera that uses a different mount. For more regarding that, please see Can I use lens brand X on interchangeable lens camera brand Y?