I recently got the YoYoCompiler working in GameMaker on Windows 10 for a project of mine. I had to do a bit of research to figure out exactly what I needed to do, since the page about it doesn't seem to talk about Windows 10. The instructions are pretty similar, though I had to make one tweak to what I expected.
Here is what you need to do, step by step, along with the gotchas I had.
1. Install Requirements
You will need to install Visual Studio 2012, which by default installs to
C:\Program Files (x86)\Microsoft Visual Studio 11.0.
Then, install the Windows SDK 8.1. Even though you're on Windows 10, it doesn't seem to play nicely when you try to use the Windows 10 sdk. The default install location is
C:\Program Files (x86)\Windows Kits\8.1.
2. Configure YYC
Go to File -> Preferences... in GameMaker and choose the "Windows" tab. You'll be presented with two file path selectors and a button to "Check Windows SDK". Select the install locations of the requirements you just installed:
3. Clean Target Cache
This one tripped me up for a bit. The compiler was throwing a lot of errors talking about structs that had already been created. Turns out, the cache was just bad, and needed to be cleared. Click the broom icon near the "run/debug/stop" buttons:
Select "Windows (YYC)" from the target dropdown at the top and try running your game! If you are successful, you'll have a natively compiled game that will be running way faster.
I saw about a +300fps boost in my game, but your mileage may vary.