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There's a way to load them as sprites, not objects. You can have an object that inherits the newly created sprite by setting its sprite_index value afterwards.
As said above, you can use sprite_add() to load the image from disk. sprite_add() returns the new index for that sprite, which you can then assign to the sprite_index of the object you are creating.
Code:
var _loaded_sprite_index = sprite_add("player_5.png", 16, true, true, 0, 0);
var _iii = instance_create(x, y, obj_player);
_iii.sprite_index = _loaded_sprite_index;