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

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