It's not a stupid question. I'll try to help. I've seen 2 instances of this problem occur before.
1. When I had a file that, for some reason game maker didn't like, and It was a tileset that I later broke apart into a different file and it worked.
2. When I first got gamemaker some of my games did that as well, I just uninstalled and re-installed it and it worked right. Hopefully you don't have the registered version yet and this won't be a pain.
Those could be the problem, but judging from that picture, it seems that Microsoft is having a problem with the .exe files. I'd say your best bet is to re-install Gamemaker. Does this happen when you you try to test one of your own games made in Gamemaker?