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
          • TF2 smooth criminal hat hexed <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• TF2 smooth criminal hat hexed/
  • materials/
    • models/
      • player/
        • items/
          • spy/
            • spy_criminal.vmt
            • spy_criminal.vtf
            • spy_criminal_phongmask.vtf
  • models/
    • Smoyer/
      • items/
        • spy/
          • spy_hat.dx80.vtx
          • spy_hat.dx90.vtx
          • spy_hat.mdl
          • spy_hat.phy
          • spy_hat.sw.vtx
          • spy_hat.vvd

re15revisited, Samy aissa el bey, ☣Lord TL☣, SCP-096-2, Warpath-the-drone swe, Warpath-the-drone swe, Wolfman19682005, =PP= 419, PeculiarReality