Starting to code your program or game (Given that you already know how to program) is not the easiest thing to do.  You could be very overwhelmed in the beginning.  Fear not however.  Here is a good list of steps (Not definitive, but good) that might help you break the ice.

1. Write it out.  Make a list of things your program or game will do.  Stay as generalized as possible and don't use code.  Your making a map at world scale.

2. With your world scale map, write more in depth information regarding the features and functions of your program.  These can be considered the maps of various continents/countries.

3. Make a separate list of code ideas you may have had before you started the first two steps.  This list will be very useful later on.

4. Now, you have two lists.  One concerning your program, the other, concerning possible solutions (code) that it might use.  It's time to start writing.  Make an object or two and start populating it haphazardly with various variables you think your program might need.  Yes, I know, it sounds crazy, but its true!  Programs are nothing but stuff, and things that move/change that stuff.  The variables are stuff, and the functions are the moving/changing parts.  If you have the "stuff" (variables), your obviously half way there.

5. You may already know this, but since you have your variables, all you need now are your functions.  If you've read the Tips for Testing page you know that you have to test each function as you write it.  It starts to slow down here but you have so much to work with, and it's past your bed time.  You can officially state that you started working on your program.  Happy coding.

As a side note.  Don't waste your time making sprites when your just starting your game.  Make a sprite library for yourself that you can use just for testing purposes.  If you want to use the ones that Game Maker provides than go ahead, but I feel that making your own collection of images that host a variety of shapes and colors but are precisely measured will take your focus off of the art and get your mind in gear for more structured, programming-like thoughts.  Try to think of making nice looking sprites as a reward for when you've completed a substantial chunk of coding.