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.
(Combine Army) HATAWA_RUS_86, Sacapetroleo, berkay_5530, Xenosiris, marcumaftei, owneil., Nopity, tothandraas03, Heckelex, robinson042, Leander1515, bertisis, DjCL0n-E, sn1p3rdu08, =DRK= =S1R_D3RP=, GroSSoMineTTo_Mappeur, Savisaar The Great, Hugh Mann, Bubsy, RonnyRoss