Firstly, I had to import the sound. I did this by right-clicking Sounds, then clicking Create Sound.

I typed in the name of the sound, beam1, then clicked on the Open button and selected the Beam1 sound file.

After I imported the sound file to Gamemaker, I had to edit the coding of the laser to make it play the sound.

I clicked on player_laser, as that is the object I want to play the sound. Then I clicked on Create, then movement & sound. On the last line of coding, I typed in the name of the sound in the place where the previous sound was.