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

• Anime/
  • Haruhi.tga
  • Izuna.tga
  • Konata.tga
  • Konata2.tga
  • KonataCatGurl.tga
  • Miku.tga
  • Miku2.tga
  • Miku3.tga
  • Orihime.tga
  • RandomAnimeGirl.tga
  • RandomAnimeGirl2.tga
  • RandomAnimeGirl3.tga
  • RandomAnimeGirl4.tga
  • RandomAnimeGirl5.tga
  • RandomCatGirl4.tga
  • RandomCatGurl.tga
  • RandomCatGurl2.tga
  • RandomCatGurl3.tga
  • RandomCatGurl5.tga
  • RandomCatGurl6.tga
  • Sara.tga
  • Sara2.tga

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