DLLs

About DLLs
A DLL (Dynamic Link Library) is a file which can be used to add functions to Game Maker.

For example, by using SXMS.dll, Game Maker can gain the functionality to be able to play all of the music filetypes that FMOD is able to play. (Since SXMS is an FMOD wrapper.)

Examples of existing DLLs
3D engines (Xtreme3d)

Sound Systems (SXMS, Super Sound System)

Sockets (39dll)

Creating Game Maker DLLs
To create a DLL which will work with Game Maker, a compiler will be needed. Some examples of languages that can be used to create DLL's are C-family language such as C and C++. Pascal and Delphi are also very good choices, since Game Maker was mostly written with them.