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

• Pokemon_Attacks/
  • info.txt
  • lua/
    • weapons/
      • thundershock/
        • shared.lua
  • materials/
    • sprites/
      • thundershock.vmt
      • thundershock.vtf
  • sound/
    • weapons/
      • fireblast.wav
      • thundershock_attack.wav

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