To make a game in GameMaker: Studio you will need to
first define objects and add them to the resource tree. An
object can contain a number of different Events and in
each event you can use either GML code or D'n'D to define
behaviours for that object. However, this object is not
placed into the game, but rather acts as a template for
instances which are placed into rooms. An instance is
basically a copy of the object that is placed in the room of your
game and so, in this way, you would create one wall object
and then place 100 instances of it into the room to create
your game world.
Another thing to understand about instances and objects is that once an instance is created it can be manipulated and changed through D'n'D or code on an individual basis with none of these changes necessarily affecting any other instance of this same object. For example, you can use the room editor Right Click instance menu to change a single instance to have a different colour or orientation and these changes will only be current for that instance. All further instances will be created exactly the same as the defined object template.
Information on objects and instances can be found in the following pages: