You need to use an object rather than a sprite. In the object make an event. If you're in GML mode then the code page will automatically come up, but if you're in Drag and Drop mode then you'll need to use the "Execute a piece of code" action (under "Common").
Yeah, in GM a sprite is a graphical resource - objects are needed for functionality, and objects can execute actions, execute code, and call scripts as a way to structure up your code (since scripts are named and can be reused without you having to copypaste code everywhere etc). Objects do stuff in rooms, the game always is in exactly one room and leaving a room will reset it to its initial state. Objects can have a sprite assigned to them, making them use that to represent themselves visually, use it as a collision mask, and so on. Several objects can use the same sprite without conflict, and an object can change its sprite at any time using code, so don't see sprites as something linked firmly to objects... sprites are basically a resource objects can use, just like code is.