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:

• steamapps
  • common
    • garrysmod
      • garrysmod
        • addons
          • CSS Anti-Death's Mossberg hexed <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• CSS Anti-Death's Mossberg hexed/
  • materials/
    • models/
      • weapons/
        • v_models/
          • ad_mossberg/
            • mossberg.vmt
            • mossberg.vtf
            • mossberg_normal.vtf
        • w_models/
          • ad_mossberg/
            • mossberg.vmt
  • models/
    • Mospons/
      • w_shot_m3super90.dx80.vtx
      • w_shot_m3super90.dx90.vtx
      • w_shot_m3super90.mdl
      • w_shot_m3super90.phy
      • w_shot_m3super90.sw.vtx
      • w_shot_m3super90.vvd
      • w_shot_m3super90.xbox.vtx

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