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.
Alien, SonicUltimateFan, ✪ Sonic The Hedgehog ✪, No ExiT, ajoseph0525, Dat Reese's Cup, MajesticXX, Logzombie, GojiMike, Magenta Rhythm, Lance, PixelGamer, I hate mongoloids, The Lord and saviour Bean, Sonicteam998, Frost1551, Maciux, DebugURL, Roman, ☆TCT☆Bluey the cyborg, KÁNĚ, Shadow the Hedgehog, Littlepip, ECHEiON