This download looks like a map. You need to place it in your maps folder inside the Garry's Mod folder.

You should end up with a directory structure similar to below

• steamapps
  • common
    • garrysmod
      • garrysmod
        • maps
          • READ THIS OR YOU WILL BE FAILED!.txt
          • shadows_ch1a.bsp
          • shadows_ch1b.bsp

• READ THIS OR YOU WILL BE FAILED!.txt
• shadows_ch1a.bsp
• shadows_ch1b.bsp

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