The older versions of game maker games use an old runner that does not work with the newer versions of window (from Vista and up).
Using compatibilty mode does not fix this.
There is however a fix available that replaces the runner in the EXE with an updated one.
The tool was posted by Mark Overmars (the original creator of Game Maker) but the link in his topic is no longer active (the .zip does download but its an HTML page, not the actual tool).
http://gmc.yoyogames.com/index.php?showtopic=299895&p=2116603
It did work for me and using this program I was able to run a lot of older gm4 + games that I have played before on windows XP.
If its a must - you can always try to run it on an XP machine.
TL;DR:
There is a tool to make them work, I will upload it tonight.
EDIT: Turns out YoYoGames has the tool posted themselves;
http://help.yoyogames.com/attachments/token/lsj0pmbzqeu64hf/?name=GM_Convert_Game.zip
More information: http://help.yoyogames.com/hc/en-us/articles/216753218-Troubleshooting-Legacy-GameMaker
You can extract all the files to a directory, then drag your old .exe file onto the converter exe. It will then create a game_old.exe
and game.exe
and then you should be able to run the game.exe
one.