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.
supercreper111, rrtyx007, PlayFourHand, haydon546, tiki.tiki.edgar, ☣ Vexer Wor ☣, azamani0326, InGameGladiator, Mike, Mike, Jeff Dunham; Relevant Comedian, ACR_Hutch, lonely19682005, lonely19682005, Deika, Jei-Sun, zecor233