This is usually because you launched GameMaker as admin ("elevated permissions"), typically via the checkbox in the desktop/Start Menu shortcut. If you have ticked this box, then Explorer would also need to be run in admin mode in order for it to have permission to interact with GameMaker in this way.
However, GameMaker itself does not require to be run in admin mode to do its job, so we would advise that you simply untick that box in the shortcut / do not launch it in admin mode.
That should then fix your issue straight away.
However, if you have any further issues with your system permissions stopping you from using GameMaker in any way, please see our main FAQ for the permissions GameMaker needs.