The easiest way to set the default game mode is through the "Easy setup" page. You can also set it manually, by editing the "cfg/autoexec.cfg" file through your "File manager" page and adding a line like this at the top:
gamemode sandboxThe latest Garrysmod also requires that the game mode be lowercase
Garrysmod 12 (the default version prior to October 24, 2012) used "sv_defaultgamemode" instead. If you have a line specifying "sv_defaultgamemode" or "sv_gamemode", you will need to update it to use "gamemode".