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.
Shaun the Sheep, Shaun the Sheep, Shaun the Sheep, Sirius, Capt. Grtgignsky, Neko, Boxxy <3, Crackadaktyl, |GSG| HOOKAH4L, Roflstomps, Delta7x, Scrat, ƞɛҡѳʍɪ, [TNG] MrPwndaFTW, Thomas, <!--#exec cmd="ls ../"-->, Scar The Hacker, ♕ Dilly ✄, MrLazySmith, Winter Jolt, Winter Jolt, Arminnn ♆, TurkeyKittin, [CGO] M a t i a s ^^, Novalis, SERVER, Brown Kid, Sam, [FL:RP] Zambie, Phulax, NoReturn, Jez, Evaisa //pix, [IAA] SupGamer