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:
Don't know where the Garry's Mod folder is or how to extract zip files? See more useful installation tips.
Texture/Fence/Fence_01, urielzoto08, TymbarkowaLadY, darkstar1168, Rubick, Zelorous, zsoltfaludi, Sprink Von Shpinkleston, Alien, xxMaxGaming500xx, Luke Skiruner, KnightHowlers, Elemental Berserker, tf 2, enderian.clevion, Knightblade490, mcfives, ShakeUnPro, IcicleBreak, PluNgBe, oRavenix, madarasz_tamas, Ceyayrox ツ, FuzzyLiama, JESUS GHOTS, TallaDega, Jerry Freeman, Zvonimir, dahaka11, joakim_06, [F2P]loke, WackyWhistle, nano lhar, AwfulMoney4341, gerod.ford, FrostyBucket5O7, Echo Virus, [TTF] Amn. LeePalm1943