What you'll need to do is run some checks, and having branching statements based on them. Do the following with events, using conditional branches as necessary.
At the start of the game, set a variable named Lives (or something similar) to (whatever number of lives you choose.)
When the player enters the room, have an event that runs automatically store the player's x and y locations to two variables. (You should call them hero_x and hero_y)
When the player reaches an event that causes them to lose a life, you must tell the event to:
First, check the total number of lives.
Second, if it is greater than one...
1. - Decrease the total number of lives by one.
2. - Fade out the screen, and move the player to hero_x and hero_y.
3. - Fade the screen back in.
If your total number of lives is EQUAL to one...
1. - Go to game over.
If you need anything clarified, or you need help, I'm in IRC Chat. IRC is not normally used for help or troubleshooting but, eh, I make exceptions.