The Stanley Parable 2011 – How Many Endings Are There?

Assuming you installed Steam in the default location, you'll want to unzip the folder into %ProgramFiles\Steam\steamapps\SourceMods.

So, in the case of The Stanley Parable, you'll have a folder %ProgramFiles\Steam\steamapps\SourceMods\thestanleyparable containing at least gameinfo.txt and a bunch of folders.

After this, you'll have to restart Steam completely, and the mod will be in the list.

Make sure you own the Source SDK Base (which comes with almost every non-free Source game) and have it installed. (If you don't, it should install automatically when you try to launch the mod.)

I had the same problem, try installing both the source SDK and the source SDK base 2007. That worked for me.