Its possible
make 3 parallel process events.
In the first put a conditional branch for if the left and right keys are pushed. If the left key is pushed, turn a switch on, if not, turn it off. If the right key is pushed, turn a switch
on, if not, turn it off.
In the second event do the same thing, except do the up and down keys, be sure to use a differant variable for this one.
in the third event, make a bunch of conditional branches. In those branches have move event commands to move the hero.
For example, make a branch for if left is pushed, in that branch check if up is pushed, if it is, move the hero upleft, if not, check to see if down is pushed, if so, move the hero left down, if not, just move the hero left.
that'll work, but you'll have some problems cuz the hero wont trigger 'touched by hero' events while moving. Getting around this is complicated.