I'm just going to use information from the image you've provided and I'm going to use keyboard inputs.
This is just something to get you started and may not be the best way.
First create an object that will handle the menu. Call it obj_menu or something.
Inside its create event, have a variable that will keep track of which option is selected. Lets call it selected_options for now. Set it to 0.
Then have another variable that will keep track of the sub-menus. Lets call it sub_menu. Set it to 0.
Then have another variable that will show the sub-menus. Call it show_submenu. Set it to false.
In the step event:
There are two options: A and B. Let option A be 0 and option B 1.
if keyboard_check_pressed (vk_right)
{ selected_options += 1; // increase selected_options variable by 1}
if keyboard_check_pressed (vk_left)
{selected_options -= 1; decrease selected_options variable by 1}
However you're going to have to keep selected_options from going over 1 and below 0. Because there are only two options A and B, represented by 0 and 1.
Write something to this effect. If selected_options is greater than or equal to 1 selected_options is equal to 1.
if selected_options >= 1 {selected_options = 1;}
Then do the same for going below zero.
Then lets work on getting the sub-menus to show.
if keyboard_check_pressed(vk_enter)
{ show_submenu = true;
if selected_options = 0
{ sub_menu = 0; }
if selected_options = 1
{ sub_menu = 1;}}
In the Draw event or Draw GUI event:
draw_sprite(sprite for Main Options, subimg (0), x coordinate, y coordinate);
draw_sprite(sprite for Main Options, subimg (1), x coordinate,y coordinate);
if show_submenu = true
{ if sub_menu = 0
{ draw_sprite(sprite for A option sub_menu, subimg, x , y);
draw_text(); //If you want text
then write something for sub_menu = 1}