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.)
4) Re-add the other data-types from the GPX file(s) as new layers, symbolize, subset with Filters, arrange, etc.
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.