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

• Hitler NPC/
  • info.txt
  • Lua/
    • Autorun/
      • hitler.lua
  • Materials/
    • Models/
      • Hitlr/
        • Breen_face.vmt
        • Breen_face.vtf
        • breen_sheet.vmt
        • breen_sheet.vtf
        • breen_sheet_normal.vtf
        • eyeball_l.vmt
        • eyeball_r.vmt
        • glint.vmt
        • mouth.vmt
        • pupil_l.vmt
        • pupil_l.vtf
        • pupil_r.vmt
        • pupil_r.vtf
    • VGUI/
      • Entities/
        • npc_hitler.vmt
        • npc_hitler.vtf
  • Models/
    • Hitlr.dx80.vtx
    • Hitlr.dx90.vtx
    • Hitlr.mdl
    • Hitlr.phy
    • Hitlr.sw.vtx
    • Hitlr.vvd
  • Readme.txt

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