GameMaker - How To Create Object
Creating Sprite and importing image for it is only first step in creation.
After that you need to create Object as placeholder for that Sprite, code, sound,..., which will be attached to it if needed.
You will do this a lot in your GameMaker development, and all you have to do is:
right click somewhere in Asset Browser
Create - Object
And that's it, you have created empty Object !
Now name it, select some Sprite for it and drag it into your game Room to make it visible in your game !