You probably set link's facing/direction/whatever variable to "down" in his create event.That way,each time the rolling Link object destroys itself and creates the walking Link object,he looks down.
solution:
have a controller object set his facing/direction/wtf variable to down when he is first created(should be a global. variable)
then in his create event you should check for example
if global.LinkFacing-"left" {sprite_index=sprLinkleft}
if global.LinkFacing-"right" {sprite_index=sprLinkright}
if global.LinkFacing-"up" {sprite_index=sprLinkup}
if global.LinkFacing-"down" {sprite_index=sprLinkdown}(replace your own variables and sprite names)
