The question is a bit vague, so I'm going to focus my answer specifically on how one would generate a LiDAR-derived DEM raster product from a GPX that (apparently) contains LiDAR elevation contours.
1) Add the GPX to QGIS using the Data Source Manager by choosing Vector -> File

1A) Pre-process/cleanup data (Likely out of scope for you)
1. Fix Geometries
2. Reproject to local CRS/GRS
3. Simplify to required spatial resolution
2) Choose an appropriate interpolation method from the myriad tools, bearing in mind that many expect/require points not lines as input data (and you hinted at lines above).
The QGIS IDW and TIN interpolation algorithms will handle lines.
Anecdotally, I found IDW to be sufficient in my past research making LiDAR-derived DEMs.
2A) Setup interpolation (interpolated attribute, data type, interpolation method, processing extent, output resolution, required products, etc.)

3) Iterate/experiment
4) Re-add the other data-types from the GPX file(s) as new layers, symbolize, subset with Filters, arrange, etc.
Example data/products:
LiDAR Contours

Converted to points

TIN Interpolation from points (linear interpolation)

LiDAR DEM from original data provider (Derived from Lidar Point Cloud)

The two are VERY close.