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

• Midna - Source/
  • lua/
    • autorun/
      • Midna_npc.lua
  • materials/
    • models/
      • midna/
        • midnasheet.vmt
        • midnasheet.vtf
  • models/
    • midna.dx80.vtx
    • midna.dx90.vtx
    • midna.mdl
    • midna.phy
    • midna.sw.vtx
    • midna.vvd
    • midna.xbox.vtx
  • settings/
    • spawnlist/
      • Midna.txt

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