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.
ROCCOROCCOROCCOROCCOROCCOROCCO, mongeau98, eduardoykaro, coolduke2009, Yuuki, T I P O, gabybarrocos, Proxy-G, Whlz_konar, -̗̀MARḰ̖-, Onslaught, Sergent chat Ryan, Mr.Hobo, LeSchizooo, The Dalek With The Fancy Hat, bdidim, Sexy.dll, [ATA] Combine Empire Reich, Codeah, CommieTurtle, Mka0207, lanciarazzi_41