Are you making a yeast bread or a quick bread, like pumpkin or cranberry bread?
Self-rising flour has baking soda or powder added to it, plus salt. It's usually used in cakes and quick breads, not yeast breads that need yeast and need to rise. The sifting is recommended because the ingredients that are added to the flour can separate, and sifting helps all the additives get mixed back in.
If you're making a yeast bread, you should know that using the self-rising flour can affect the final product and it may not (usually doesn't) turn out right.
Also, self-rising flour usually has lower protein and gluten percentages, because it's used for things that don't have to rise as much (like a layer cake or pancakes). Bread will be best when made with flour that is intended for bread-baking, with a higher gluten content. Bread flour, or flour that's labelled "better for bread baking" has that higher protein and gluten content. If you use ordinary all purpose flour, you can buy a box of "vital wheat gluten" and add the amount recommended on the box to make the ordinary flour better for baking bread.