Somethings only accept Delphi dlls. For example, i copied this from Game Maker 5 help file:
In those cases were the functionality of GML is not enough for your wishes, you can actually extend the possibilities by using plug-ins. A plug-in comes in the form of a DLL file (a Dynamic Link Library). In such a DLL file you can define functions. Such functions can be programmed in a programming language that supports the creation of DLL's. Game Maker is only compatible with the programming language Delphi. Plug-in functions must have a specific format. They can have between 0 and 11 arguments, each of which can either be a real number or a null-terminated string. (For more than 4 arguments, only real arguments are supported at the moment.) They must return either a real or a null-terminated string.
In Delphi you create a DLL by first choosing New from the File menu and then choosing DLL. Here is an example of a DLL you can use with Game Maker written in Delphi. (Note that this is Delphi code, not GML code!)