By default, the installer installs into your single player/Listen server folder.
If you have a dedicated server, you need to change the desitination folder during install to that of your root garrysmod dedicated server folder.
The installer has a popup window when you click close that in part states;
"If you're not running a listen server, please see the readme in the garrysmod root for instruction on adding users"
To install ULX, simply extract the files from the archive to your garrysmod folder.
When you've done this, you should have a file structure like this--
<garrysmod>/lua/ULib/modules/ulx_init.lua
<garrysmod>/lua/ulx/fun.lua
etc..
Note that installation for dedicated servers is EXACTLY the same!
Please note that installation is the same on dedicated servers.