Objects are what your sprites are (generally) applied to. Inside of objects, you can assign cause and effect actions with the drag-and-drop functionality mentioned before. For example, you can apply a “Left Pressed” cause onto an object (which means when the left mouse button is clicked), then drag-and-drop an effect as an action, such as playing a sound, jumping, moving to the next room or other functions. Objects can be anything from a ‘mute sound’ button to an enemy character or even the ground floor of the level. Sprites and objects are the entire basis of your game.

2 Curated Resources

More information from the Game Maker Wiki about objects.

Here is some examples of code from the official YoYoGames website regarding instance creation. All this means is one of your objects was made, given a bunch of attributes such as location, directions, etc..