How do you make a locked level that can unlock in Game Maker

Ini files.
Open up notepad, and do this:

[Levels]
level[1]=0
level[2]=0
level[3]=0

Keep adding to the level[number] number until you make it to how many levels you have. Save the file as levels.ini. That will be bundled with your game, or you will have the game write that out if it doesn't exist. Whenever you beat a level, have the game write to the ini file that level[the next level] is now 1.

In the level select screen, have it check if the level=1. If it doesn't, have it not allow you to enter that level. If it does = 1, allow you to enter.

Ini files can also be used for more efficient saving/loading, creating settings, and more.