If you want an object to follow the mouse's co-ords:
x=mouse_x
y=mouse_y
Or if you want it to follow another object:
x=(objectname).x
y=(objectname).y
Where (objectname) is quite obviously the name of the object you want to follow. This method (when placed in Step as a code) will make the object's co-ordinates snap directly to the followed object. If you just want it to move towards the mouse or object, then instead you'd use:
move_towards_point(mouse_x,mouse_y,(speed))
Or alternately:
move_towards_point((objectname).x,(objectname).y,(speed))
Where (speed) is the speed at which the object will move. Obviously.