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

• Alyx Blonde/
  • materials/
    • models/
      • Alyx/
        • hairbits.vmt
        • pupil_l.vmt
        • pupil_l.vtf
        • pupil_r.vmt
        • pupil_r.vtf
        • alyx_sheet.vtf
        • alyx_sheet.vmt
        • alyx_faceandhair.vmt
        • alyx_faceandhair.vtf
        • hairbits.vtf
  • READ ME.txt

andrewjgroen, leviy_twink, Golem_Commander, samuraidragon17, alanmonsterskull, Rezengrad, leonardon789, Romanich, CarringtonTheObscureGamer, =V=, Wendell Carlos, krazyxsnipez, benadeandries, Dimitris Panag, super.ultrapoint, James Fuccon, MrMooseYT, neccos, jonas.rumpa58, Deströyer666, Cheeki-Breeki, J_Kreir11 (Dark_Ghoul), loree13m, NeroBG CSGOFAST.COM, Ry13y04, Ry13y04, mortalweny, tom, ririchoice, -0-0-, hillmeu, THE BENEFITS DON'T STOP THERE, Squeeze, scar.rab61, apac_420, (YouTube)natasha, (YouTube)natasha, xXFantasticPandaXx, ArkAJBoy01, bautista13angelica, Kenny, bael, drunkdekushow, neon dawn [BS], Celtix21 [40K-G], panos6532, Grj1315, jz200401106, DJ Lazarus (el ciborg), oWn_-SramZ-_ +37 others