If you have gotten GameMaker: Studio from the Steam platform, then you are also now eligible to get a licence file which will work with a stand alone version (the same way as if you have a Pro/Master desktop licence, you can also get a Steam key at no extra cost). To get your stand-alone licence you first have to register for a YoYo Account (YYA), here:
When you register, you will be required to fill out some personal details and then submit them to YoYo Games. After submission you will receive a confirmation email with a link to activate the YYA. The link will activate your account and permit you to log in on the YYA pages, where you can then link your Steam user details to the YYA. This is done from the Licences tab, by clicking the highlighted button shown below:
Clicking this link will open a new window where you will be requested to sign into Steam and confirm that the account is to be linked to YoYo Games. Once you have confirmed that it can be linked, your accounts page should show something like this (the product details will vary and your Steam username will appear in the area blurred-out below):
Note that "Master Collection" licenses on Steam are actually just Pro + a bundle of all the module DLC, so that's what your non-Steam license will call itself. If we do release further new 1.x modules your Steam license will be updated, at which point you can simply re-link your Steam account to your YYA in order to pass the new entitlement on to your non-Steam license.
Now that you have linked your Steam install to your YoYo Account, you can go ahead and download the non-Steam version from the YoYo Games site here:
After installing and starting the program, you will be presented with the following splash screen:
Here you need to supply your YYA details (Email and Password) in the second pane, where it says "YoYo Account", then click on the Log In button. If all has gone correctly, you will now be able to use the desktop version of GameMaker: Studio independently of Steam, and with all the same target platform modules that you have licenced.
It's worth noting that this does not give you a stand alone licence key for GameMaker: Studio which you can use later. This simply links the Steam account with your YoYo Account and generates a licence file which is picked up by the stamndalone version of GameMaker: Studio when you sign in with your YoYo Account.