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

• Proximity Bomb/
  • Proximity Bomb/
    • info.txt
    • lua/
      • effects/
        • cinematicexplosion/
          • init.lua
      • entities/
        • planted_proxbomb/
          • cl_init.lua
          • init.lua
          • shared.lua
      • weapons/
        • Proximity_Bomb/
          • shared.lua
    • materials/
      • VGUI/
        • entities/
          • Proximity_Bomb.vmt
          • Proximity_Bomb.vtf
      • weapons/
        • proxbomb.vmt
        • proxbomb.vtf
  • ReadMe.txt

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