First open your char set in MSPAINT.
Then in game maker click Add Sprit, then click edit Sprite.
Back in MSPaint, Highlight one of the walk frames of your char, hit Control+C.
in the Gamemaker Sprite editor, Press Control+V, then click place at the left top corner
Repeat this procedure for for the other graphix in the same direction, theres going to be one blank spot, just delete that.
Save your work, and then just repeat the whole process for the other directions..
I hope to soon tell you how this can be used in game. Look for that soon.