I think you'll find Game Maker only works on Windows computers. I believe Yoyogames are working on a Macintosh version of it, but it's still in the beta testing stages so it's not available for public download.
There's probably a way to get windows applications (exe files) to run on Mac OSX (I'm running Linux and there's a workaround to use Windows programs), but Game Maker doesn't really seem to work very well with those solutions, so it's best to just run it straight from Windows.
Anyway, good luck with it!
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I'LL GET MAH STABBIN KNIFE!
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