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

• Santa/
  • info.txt
  • lua/
    • autorun/
      • santa_npc.lua
      • santa_player.lua
  • materials/
    • Jaanus/
      • monk/
        • eyeball_l.vmt
        • eyeball_r.vmt
        • glint.vmt
        • grigori_head.vmt
        • grigori_head.vtf
        • monk_sheet.vmt
        • monk_sheet.vtf
        • monk_sheet_n.vtf
        • mouth.vmt
        • pupil_l.vmt
        • pupil_r.vmt
  • models/
    • Jaanus/
      • santa.dx80.vtx
      • santa.dx90.vtx
      • santa.mdl
      • santa.phy
      • santa.sw.vtx
      • santa.vvd
      • santa.xbox.vtx

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