If you downloaded the version from our download page, what we call our "release" version... Garry made changes to Gmod over several updates that don't allow the menus to work most of the time. Most console commands should still work though.
Megiddo, the project lead, said recently a new release was coming soon, but I've not seen any more mention of it since 2 or 3 weeks ago.
HOWEVER, if you're going to stick with running a server, no matter what type (dedicated or listen), then I recommmend learning about SVN. Several projects, including ULX (and other Ulysses code), Pheonix, Wire mod, all keep the latest (and most times beta, sometimes buggy) code in SVN repositories.
Our SVN information, and where to report bugs found in it, can be found in the forum area here aptly named "SVN Stuff"
Though our SVN code is still considered BETA and not fully released, I believe it actually works better than the old release code right now.