This download looks like an addon. You need to extract the downloaded zip and put the addon folder in your Garry's Mod addons folder. You should end up with a directory structure similar to below:
Don't know where the Garry's Mod folder is or how to extract zip files? See more useful installation tips.
j.e.ricagno.oliveri, falseprophet141, Capitan krevetka176, Pyramid Head, WarthogS117, turkufiliz, Rojok, Satsuki-Nyan, Marty, Combine overlord, Blaze the Pegasus, Hochmeister Rotneus, 감귤 작작먹어, ikosmid, funny scream