I'm using GameMaker Studio and I want to put my game on my website.
I need help with saving a game in a exe file or anything that will make my game to open normally. How do I do that?
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You can export to Windows PC and Mac OS with the free edition of Game Maker (other export types, like web or mobile, require paid versions).
To create an executable, just open your project, select File->Create executable
The latest version of Game Maker Studio (1.2), the option you want is "Create Application":
From there, you can save it as an installer, a compiled exe or a zip.
In this case, you could use the "Single runtime executable" and distribute that.