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
          • Mass Effect 3 COOP Soldier <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• Mass Effect 3 COOP Soldier/
  • info.txt
  • materials/
    • models/
      • nikout/
        • masseffect3/
          • coop/
            • fx_holo_distortion.vtf
            • MP_BF_HMM_Diff.vmt
            • MP_BF_HMM_Diff.vtf
            • MP_BF_HMM_Norm.vtf
            • OmniBlade.vtf
            • OmniBlade_mat_a.vmt
            • TTMain.vmt
            • TTMain.vtf
            • TTRing02.vmt
            • TTRing02.vtf
  • models/
    • nikout/
      • masseffect3/
        • coop/
          • soldier_bf3.dx80.vtx
          • soldier_bf3.dx90.vtx
          • soldier_bf3.mdl
          • soldier_bf3.phy
          • soldier_bf3.sw.vtx
          • soldier_bf3.vvd

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