1. Download or import a project file from either internet or if you have one on USB drive
2. Open up the folder (it should be a FOLDER not zip or anything)
3. Locate the .gmz file
For example, I have a game called Sanctuary. (Look at the image included)
Now click on the file highlighted
It should ask to be ran from inside steam
Click "okay" on the alert
Steam should ask to start downloading gamemaker studio if you dont already have it, or if you already have it downloaded steam will launch it.