if (mouse_check_button_pressed(mb_left)) // command for clicking
instance_create(mouse_x, mouse_y, OBJECT); // command for creating an object, mouse_x and y are the positions the mouse is at (absolute)
The manual is a great source of info, hit F1 in whatever flavour of Gamemaker you are using. Then see if you can find the bits you need to construct what you want it to do. Take a look at "Instance Functions", and "Mouse Input".
Aware I've been beaten to the punch, but I think getting used to finding what you need from the manual is a good skill to have.