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 The Giftspritze hexed <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• TF2 The Giftspritze hexed/
  • materials/
    • models/
      • weapons/
        • c_items/
          • germgun.vmt
          • germgun.vtf
  • models/
    • Gifpons/
      • c_models/
        • c_leechgun/
          • c_leechgun.dx80.vtx
          • c_leechgun.dx90.vtx
          • c_leechgun.mdl
          • c_leechgun.phy
          • c_leechgun.sw.vtx
          • c_leechgun.vvd
          • c_leechgun.xbox.vtx

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