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

• bang/
  • info.txt
  • lua/
    • weapons/
      • bangbanggun/
        • shared.lua
  • models/
    • weapons/
      • v_pist_finger1.dx80.vtx
      • v_pist_finger1.dx90.vtx
      • v_pist_finger1.mdl
      • v_pist_finger1.sw.vtx
      • v_pist_finger1.vvd
      • v_pist_finger1.xbox.vtx
  • sound/
    • weapons/
      • bangbangyouredeadgun/
        • bang1.wav
        • bang2.wav
        • bang3.wav

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