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

• entities/
  • effects/
    • empty_effect/
      • init.lua
  • entities/
    • empty_entity/
      • shared.lua
  • weapons/
    • empty_weapon/
      • shared.lua
• gamemode/
  • cl_init.lua
  • init.lua
  • shared.lua
• info.txt

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