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
          • Santa's Helper <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• Santa's Helper/
  • materials/
    • models/
      • haxxer/
        • santashelper/
          • Engine/
            • eye-ambient.vtf
            • eyeball_l_ambient.vtf
            • eyeball_r_ambient.vtf
            • eye-cornea.vtf
            • eye-extra.vtf
            • eye-iris-blue.vtf
            • eye-iris-brown.vtf
            • eye-iris-brown-dark.vtf
            • eye-iris-green.vtf
            • eye-reflection-cubemap-.vtf
            • noise-blur-256x256.vtf
          • eyeball_l.vmt
          • eyeball_l.vtf
          • eyeball_r.vmt
          • eyeball_r.vtf
          • helper_facemap.vmt
          • helper_facemap.vtf
          • helper_facemap_normal.vtf
          • helper_facemap_spec.vtf
          • mouth.vmt
          • mouth.vtf
          • New_Hair.vmt
          • New_Hair.vtf
          • New_Hair_n.vtf
          • santahelper_body.vmt
          • santahelper_body.vtf
          • santahelper_body_normal.vtf
          • santahelper_body2.vmt
          • santahelper_body2.vtf
          • santahelper_body2_normal.vtf
  • models/
    • haxxer/
      • santashelper/
        • helper.dx80.vtx
        • helper.dx90.vtx
        • helper.mdl
        • helper.phy
        • helper.sw.vtx
        • helper.vvd

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