What is a .gmz file?
A gmz file is a compressed GameMaker project file, a game development application. It contains a project (.gmx file) that has been compressed for saving an entire project into one file for easy sending, storing or sharing that includes scripts, sprites, sounds, backgrounds, objects, fonts, shaders, constants, and rooms.
Double click the file open up a dialog box and when you use the GameMaker: Studio Software, it just open the welcome windows popup.
How to open a .gmz files?
From YoYo Games documentation, to open a .gmz file is from the file menu:
"Import: Imports a GameMaker: Studio *.gmz compressed file (which will then be saved as a standard *.gmx) game file. You can also select to import Legacy GameMaker files with the extensions gm81, gmk, gm6 or gb1...n files from here. These might not work correctly in this new version due to changes in GameMaker over the years, and as such it is recommended that you check out the YoYo Knowledge Base to see what's changed between versions before deciding to import legacy files. There is also a tool-bar button for this command and you can even open a game by dragging the file into the actual GameMaker: Studio window."
Or, just go to the import tab when you open the GameMaker: Studio software, browse to the .gmz file, choose a project directory and a project name and then click import.
How to create a .gmz file?
Again, from YoYo Games documentation, is from the file menu, export.
"Export Project: Exports your project as a compressed GameMaker file with the format *.gmz. These project files contain all the information relevant to your current project (including resources, extensions, game information etc...) which can then be imported again into GameMaker: Studio as a complete project in the future. This is very useful for transferring a project over a network as well as for storing shelved projects or backup copies of a current project."