First you want to make a new sprite. Then go to Edit sprite (even if it is blank). In there, go to File ---> Create from strip ---> select your image file ---> OK. Now it will load up your image and it will give you these options on the left.
For now worry about the image width and height. Move the little cursur box to the beginning of the sprite animation (if your sprite sheet is set up to have each animation) then set the width and height (give it at least 5-10 extra pixels than yourimage actually has, sometimes the next animations are bigger than the first). Then click ok.
Now you have the first one. Now this time go to File ---> Add from strip --->select the same image file. Now with the same cursor as last time move to the next animation, allign it to fit, and click ok. Repeat these steps until you get the entire animation.
Now once you're done importing the entire animation go to the screen that shows you everthing you imported. To your left should be a little box to see an animation of everything you imported. If Show Preview isn't selected, then do so.
From there you can see if you have to edit the positioning of any of the sprites if the animation isnt alligned.
Remember, you have to make a new sprite for each animation you want to import.
Good luck
EDIT: Darn, you beat me to it. O well.
Seina: My explanation is more about the GM animation process and Arrow-1 explains about sprite editting