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If you honestly have to ask "how do I do this?", It clearly means you aren't ready. You're going to need to know every bit of GML you can get your hands on, how to set up a connection, etc.
I've been using Game Maker for almost 2 years, and I don't even want to create a 3d game (too much work, and GM isn't good for 3D anyhow).
My advice:
1) Give up now. Go learn more. 2) Go to the Game Maker Community. Search for MMORPG Engines or something. you'll get like 10 different ones. You won't be able to understand them though, from the question you asked.
Sorry if I sound harsh, but that's the truth.
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