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
          • cyclope npc <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• cyclope npc/
  • info.txt
  • lua/
    • autorun/
      • rexspawn_blarg.lua
    • entities/
      • npc_cyclope/
        • cl_init.lua
        • init.lua
        • shared.lua
  • materials/
    • models/
      • npc_cyclope/
        • cyclop_01.vmt
        • cyclop_01.vtf
        • cyclop_freezegradient.vtf
        • cyclop_normal.vtf
        • eyeball.vmt
        • eyeball.vtf
        • glint.vmt
        • glint.vtf
        • pupil.vmt
        • pupil.vtf
    • VGUI/
      • entities/
        • cyclope.vmt
        • cyclope.vtf
  • models/
    • npc/
      • cyclope/
        • npc_cyclope.dx80.vtx
        • npc_cyclope.dx90.vtx
        • npc_cyclope.mdl
        • npc_cyclope.phy
        • npc_cyclope.qct
        • npc_cyclope.sw.vtx
        • npc_cyclope.vvd
        • npc_cyclope_animations.mdl
  • README!!!.txt
  • gm_flatgrass0002.jpg

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