Where did you download it from?
If you downloaded it seperately from Steam, then search Gmod in the search engine built into windows explorer. I believe it may either be in the Steam folder or a seperate folder named Gmod.
Make sure you have the latest version of GMod 9.0.4. For a while I was running 9.0.4a and was wondering why I couldn't connect to any servers. Try version C and see if it works: http://garrysmod.de/download-file-106.html
EDIT: You do have Half-Life 2, Half-Life 2: Deathmatch and Counter-Strike: Source right?