It has been some time (some years actually) since I used Game Maker, but I remember that you could export exe-Files.
If you look at the Gamemaker site, this is available in the free version: http://www.yoyogames.com/get
And here is some more info on how to export it (you probably want to choose "Single runtime executable"): http://docs.yoyogames.com/source/dadiospice/000_us...