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.
morgan203, Koopashell TMK #Meem, johnnynguyen7878, Hashirama Senju, ☣ Vexer Wor ☣, Mad Matters, DecoyofChivalry, theundergamer, theundergamer, surfer171, lonely19682005, Dis Dolphin Guy.., PeculiarPsychopath