While GameMaker:Studio strives to be as compatible as possible with all PCs, it is inevitable that certain conflicts can arise due to the sheer quantity of different third party hardware that is around. One such incompatibility is with the Asus ROG Xonar Phoebus sound card (however, this fix may also apply to other sound cards out there).
If you have this card, then it is possible that you will not hear any sound from your games when creating them with GameMaker:Studio, and you will get the following error:
"No sound device detected. Sounds might not play."
This is due to the way their 3D processing and Dolby system works, so you will need to open up the sound control panel and switch off these options, as indicated in the image below:
Once you have switched off these options (or their equivalent if the card is not this exact brand) you should be able to play your games and hear the sound and music as normal.