well it depends on what you are changing. but if it is something that resets at the begining of each room then you would need an object that is percestent, or in other words does not get destroid at the end of the room, with all of the settings saved as variables to aply in the next room. however most of the time you can change settings like fullscreen and it will stay the same the rest of the game.
i'm changing screen resolution, frequency and color depth, but it still doesnt work
edit: i can give file if needed
What version of Game Maker are you using? I wrote a GEX called AutoFullScreen which works nicely in 8.0 and I think in 8.1. It automatically detects the display resolution, sizes View to fill the screen, and then restarts the room so that the changes take effect. It doesn't let the player manually configure the display settings, but the player could just do that prior to launching the game (I assume most people leave their monitors in their native resolution now that we're well into the LCD era). You could look at the code and modify if it doesn't do exactly what you want. It's on my website, link is in my sig.
I'm trying to determine what approaches will work with Game Maker Studio, since it supports so many target platforms, and it's not such an easy question about the nature of the display any longer, but it looks like this is still somewhat buggy and undergoing overhaul in the current betas.
nice but, this is what i get
EXECUTION ERROR in creation code of room rm_test
Error in code at line 1:
at position 16: Unknown variable hborder