Fully compatible with GMS:1 and GMS:2
Getting the current time in Gamemaker is easy - there is current_month, current_day, current_hour, current_minute, current_second - but there is no variable for milliseconds (the closest thing is current_time which returns the number of milliseconds since the game started, not the actual time).
Call current_millisecond_create() once when your game starts, and current_millisecond_step() first thing once per step.
You can the access the current time's millisecond value (0-999) by referencing the current_millisecond variable (accurate to the start of the last step, so for example if your game has a frame rate of 60fps the fidelity of the value will be +/- ~16ms).
There is an example included but to avoid clutter you can choose just to import the scripts.