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

• meele/
  • info.txt
  • lua/
    • weapons/
      • mw22/
        • shared.lua
  • materials/
    • models/
      • weapons/
        • v_models/
          • mw2_knife/
            • mw2_knife.vmt
            • mw2_knife.vtf
            • mw2_knife_normal.vtf
            • mw2_knife_spec.vtf
    • vgui/
      • entities/
        • mw22.vmt
        • mw22.vtf
  • models/
    • weapons/
      • f_knife_t.dx80.vtx
      • f_knife_t.dx90.vtx
      • f_knife_t.mdl
      • f_knife_t.sw.vtx
      • f_knife_t.vvd
      • f_knife_t.xbox.vtx
  • sound/
    • weapons/
      • mw2knife/
        • knife_deploy1.wav
        • knife_hit1.wav
        • knife_hit2.wav
        • knife_hit3.wav
        • knife_hit4.wav
        • knife_hitwall1.wav
        • knife_slash1.wav
        • knife_slash2.wav
        • knife_stab.wav

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