I did a search on google for game maker side scroller tutorial. The top link is a 17 part YouTube series that walks you through step by step of making a... side scrolling shooter with GameMaker Studio. It had 43 upvotes and 1 downvote so I'll go ahead and recommend that. If you don't like that one, I strongly suggest digging through the other 19,000+ results and finding finding a series you like. A big part of game development (and programming in general) is learning how to do your own research.
There are about a blue-gillion "What do I do first?" threads on this site. Jump in! If you get stuck, try and figure it out yourself. If you're still stuck, ask for guidance then. We'll be happy to help at that point when you tell us the specific problem you're having and you tell us the steps you have already tried. Take a look at the beginner faq: