Alright, so first make a new object with the blue ball at the top. Then you get the new object's window. You have four columns, the first is the general properties like name, parent, visible, solid, etc. The next column is you events. Events listen for things that happen such as mouse clicks, keyboard events, and some other things. To the right of the events is the actions. These are fired when an event is confirmed. To the right of that is the action selection. You drag these over to the actions to make a list of things to happen when the event is fired.
Try clicking the 'Add Event' button in the event column and choose 'Key Press' > 'Right.' Then drag the red arrows from the action selection pane to the actions. Press the right arrow and set a speed of 5 or so and click ok. Then create a new room and place your object in the room. Test the game and your player should move to the right with when the right arrow key is pressed.
You can find some great tutorials on yoyogames and other places on the web