There are 2 ways to play the game. Test it and create it.
To test it you simply hit the green play button on the toolbar. You May also "Debug your game" using the red play button.
You can also create an executable. The executable is the game itself. You distribute the .exe for others to play. Distributing the gmk will result in your game being stolen.
Use these tools correctly and game programming will come easily. Learning the tools is only one part of the trade. Hit next to move on to GML programming and more "tips and tricks" to help you break into the indie game programming universe.