To create a triangle, select the Smart Polygon in the toolbar and select 3 sides. You have now a perfectly lined up triangle. Add a Fill color #FECB00 and a 12px soft-rounded Stroke in black. Resize it to 240x208. What the sign should look like at this step.
Figure 1: The sign
To get rounded corners go to: Modify > Alter path > Inset path > Outside
Figure 2: The sign with rounded corners
Let's make a thunderbolt! Select the Pen Tool (or press P). Here is my thunder already completed.
Figure 3: The sign completed
We are going to add some dirt with a texture bitmap.
Import the texture you downloaded (see Download button). Apply a filter. Go to: Filters > Other > Convert to Alpha to keep only the black stains.
Apply a second filter Filters > Sharpen > Unsharp Mask to enhance the black stains in the texture.
Now, cut the texture, select the sign and Edit > Paste Inside . Adjust the texture to see what part of the texture will appear in the sign. Add the Thunderbold and you are done!
Figure 4: The sign completed
Figure 5: The completed sign with dirt
If you want to resize the danger sign, I suggest you ungroup the mask, resize the sign which is vector then Paste Inside again with the dirt. Because the dirt is a bitmap resizing the group will result in pixalating the picture.
This tutorial in Fireworks is easier than in Photoshop.