For this game I use Game Maker Studio 1.4. I've made games in other game engines (Unity for example) and even some in Java. I like Game Maker others don't. I'd give a few engines a try. If you like Python try Godot. All the game engines I know build to an executable and does it for you. Graphics I use pixel graphics so the built in Game Maker editor is fine. Sounds I record myself, find free open source ones, or pay for them (music only).
My advice is start small. Do little projects to build your confidence in the editor. Make lots of them. Watch a few youtube videos but then branch out and try to make something yourself. Make mistakes. Fail early and often. You won't make your dream game from the start. Also start playing games differently. Start looking at games and finding what makes them good. Study that and make it part of your games.