Did you ever find the help you needed on the sprite sheets? It seems like most people in this topic missed the point. Anyway, yeah, sites that hold many resources often put together collections of sprites into sprite sheets. To create sprites from this, you could edit the sheet with an outside editor such as Microsoft Paint, but that is too much work. If you want to create a sprite from a sprite sheet, do this in Game Maker:
- Add Sprite
- Edit Sprite
- Go to File -> Create from Sheet
- If you have additional sub-images to add to the animation, then go to File -> Add from Sheet
Not really sure about sounds as I do not use them much, but you could try creating the sound in the room creation event which is found at Room Properties (the room you want the sound to play in) -> Settings -> Creation Code so that it plays right away. Make sure the volume of the music is audible and that you do not have your computer's volume muted or low; I am not saying to crank up the sound on your computer, just make sure it is on, lol.