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
          • 2 Sin Elexis player models <-- Addon folder!
            • e.g.
            • lua
            • maps
            • materials
            • models
            • etc

• 2 Sin Elexis player models/
  • lua/
    • autorun/
      • Sin_Episodes_Elexis_Player.lua
  • materials/
    • models/
      • characters/
        • Elexis/
          • Bikini.vmt
          • Bikini.vtf
          • Body.vmt
          • Body.vtf
          • BodyWet.vmt
          • BodyWet_normal.vtf
          • Body_n.vtf
          • Boots.vmt
          • Boots.vtf
          • Bra.vmt
          • Bra.vtf
          • eyeball_l.vmt
          • eyeball_l.vtf
          • eyeball_r.vmt
          • eyeball_r.vtf
          • Face.vmt
          • Face.vtf
          • FaceWet.vmt
          • Face_n.vtf
          • Face_normal.vtf
          • fmouth.vmt
          • fmouth.vtf
          • glint.vmt
          • glint.vtf
          • Hair.vmt
          • Hair.vtf
          • HairWet.vmt
          • Hair_normal.vtf
          • pupil_l.vmt
          • pupil_l.vtf
          • pupil_r.vmt
          • pupil_r.vtf
          • Suit.vmt
          • Suit.vtf
          • Suit_n.vtf
  • models/
    • Characters/
      • Elexis/
        • Elexis.dx80.vtx
        • Elexis.dx90.vtx
        • elexis.mdl
        • Elexis.phy
        • Elexis.sw.vtx
        • elexis.vvd
        • Elexis.xbox.vtx
        • Naked_Elexis.dx80.vtx
        • Naked_Elexis.dx90.vtx
        • naked_elexis.mdl
        • Naked_Elexis.phy
        • Naked_Elexis.sw.vtx
        • naked_elexis.vvd
        • Naked_Elexis.xbox.vtx

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