To change the sounds for objects in a Game Maker game, the document describes opening the objects folder, double clicking on an object to open its properties window, dragging a sound from the right menu into the object's actions, selecting a different sound from the dropdown, and repeating for other objects. It also explains opening the sound folder to change startup and win/lose sounds.

1. I clicked on the objects folder in the left hand menu and then
that brings up a drop down menu holding all your objects, then
double clicked on object that you want in this case I chose the
obj_Ball.
Once you have double clicked on the object you would like it
would bring up a window panel in the middle of the screen with
the object ive clicked on and Events and the Action of the
object, to change the sound I clicked on the right hand menu
and click and drag the sound panel into the Action menu.
I then double click on the sound, I just dragged in and then a box
will come up click on the box next to where it says sound a drop
down menu came up and I chose the sound I wanted to go in its
place.
Game Maker Step By
Step On How I Did It.

2. Once I had implemented the sound I had to double click
on the piece of code and delete the original sound track
for that object. I just then repeated this method on all the
other objects such as the bat and wall.
With the sound for when the game starts and when the
win or lose sound I clicked on the sound that was already
there and clicked on the open folder next to the ‘Name’
box this way it helped me change the sound to the sound
that I wanted it to be.