There are a number of steps we have to take.
In the Step Event we have to check whether the player is in the air, see screenshot below for order.
If a position is collision free
x = 0, y = 1, Objects = Only solid and the Relative box should be ticked.
Set the gravity
Direction = 270 (down), gravity = 0.5 (this can be changed to suit your needs).
else
Set the gravity
Direction = 270 (down), gravity = 0 (this stops the character from falling if there's something below him).
Now in the jump key (<Up> in the above screenshot), drag 'If there is a collision at a position', make X = 0, Y = 1, Objects = Only solid and tick the Relative box. Now drag 'Set the vertical speed' over and make this -10.
A better understanding can be found in the Gravity tutorial.