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.
Wings007 | blw.tf | trade.tf, ☣Theros, WYDRA_GAMING, Magoona, Âbruptly, masha, fenix2, rodionkarnaushenko, Walter01, BRONZEY BOY, khalil999, Rudi, 1337FraeR, fazafreeman, Nelson Mandela, Teo, the MAGICAL hobo, Izofar, Forg(R)otten, Bhhenry, Garry