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Try moving the executable to a different folder and running it from there :)

Sokpop, here's how to fix this problem in Mac OS X. :)

"Create a .dmg instead of a .zip.

a. Generate the executable in GameMaker, which makes a .zip
b. Extract the .zip to get the app
c. Place the app in a folder by itself (unless you want to include other files/documentation)
d. Open Disk Utility, and do File -> New Image -> New Image From Folder (or cmd+shift+N), and choose that folder
e. Distribute the generated .dmg instead of the .zip generated by GameMaker"