You might be using a fairly archaic engine if it doesn't come with them constructed already. Anyway, there are a bunch of different ways, so I'm just going to copy/paste the code from the KS engine for you.
Create an object called bulletBlocker and give it a sprite. Using a 32x32 one is easiest. Make sure the visible box is unchecked unless you want it to be something the player can see.
In the step event of the bullet object, use this code:
if place_meeting(x+hspeed,y,bulletBlocker) {
instance_destroy();
}
Then, just place the bulletBlocker object wherever you want bullets to be blocked.
If you want to make something fancy a slightly different method is better. For instance, if you want to make something that animates whenever a bullet hits it, you'll want to make that entire animation before anything else (make sure it starts from an image that is empty if you want it to be invisible at first.) Set image_speed = 0 in the create event. Then instead of using code in the bullet use a collision event in the bullet blocker object to destroy the bullet
and set the image_speed to something above 0. That will play the animation.
Then just make an animation end event that sets the image_index and image_speed back to 0 so everything goes back to normal when the animation's done playing. It's pretty simple when it comes down to it, and you can apply this sort of coding to a lot of other things in your game.
Again though, I would make sure you're using a modern engine before getting too far in your game.