"Garry's Mod" is an independent sandbox game playable only through the Steam content delivery service. In order to run it, you must have a game installed that uses the Source engine, such as "Half-Life 2," "Left 4 Dead" or "Counter-Strike: Source." If you want to change the gamemode setting, you must navigate into the "server.cfg" configuration file, found within the installation folder.
Open the folder where you chose to install "Garry's Mod." By default, this is in "C:\Program Files (x86)\Steam\steamapps\username\garry's mod\," where "username" is your Steam username.
Locate the "sv_defaultgamemode" option within the file, located toward the top. Change the gamemode to whatever option you want. For example, type "sandbox" for open-world gameplay or "SpaceBuild" for the Space Build game mode.