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Asked to use my internet but doesn't run At All, i'm really hoping this isn't a virus

I doubt that you can easily include viruses in GameMaker games. Use the installer instead, that works (even under wine).

For some reason when I pressed ‘create application’ in Gamemaker Studio it made it so the game only works if you use the installer. I’m also not sure why it ask to connect to your internet. But I can certainly assure you that it’s not a virus. Just install the installer and follow the instructions from there.