Hi LennyNotKenny!
For ripping sprites from GameMaker Studio games
with a "data.win" file, you have a couple of options (although most being originally made for Undertale extraction). The first that I'd recommend is
Altar.NET, which is the most developed "data.win" extractor out there at the moment. The next would have to be
GMSD, although a bit outdated (and even the GitHub page recommends using Altar.NET, so this is more of a fallback plan). Lastly, if nothing else works, I'd try
GMdsam, which seems to be outdated and really should only be used as a last resort.
If your GameMaker game
doesn't have a "data.win" file, then I'd give
this little tutorial a try to see if you can obtain a "data.win" file from the .exe. Also, just copying the .exe and renaming the extension to .zip, then extracting it with something like 7-Zip worked for me.
Hope this helps, cheers!