Moving to a mouse click is easy. You can create instance variables. mouseX, and mouseY on the player. When the mouse is clicked you can set those values to Mouse.X, and Mouse.Y. Then you can create an event that will move the player to that position.
Make sure the mouse object is in the layout..
If you don't mind if they lerp there then:
set position event
in the x box
lerp(player.X, player.mouseX, 1 - 0.5 ^ dt)
in the y box
lerp(player.Y, player.mouseY, 1 - 0.5 ^ dt)
The mouse icon would be pretty easy too.
for the event you would do the cog wheel compare two values distance(player.X, player.Y, mouse.X, mouse.Y) <= x
set cursor to this image.. then you do another event for the second image.
X in this instance is replaced by the distance in pixels.
If you want the player to move fast when clicking far away... you can do an event.. if distance from
player.mouseX, player.mouseY > x
then lerp(player.X, player.mouseX, 1 - 0.3 ^ dt) -- see here 0.5 became 0.3, which is a quicker speed.
Do the same for setting player Y...
that number can't be greater than of equal to 1... so 0.1 - 0.9 the lower the number the faster the lerp... if you find lerp isn't working for you there is LiteTween, which is a custom plugin you can get here:
It's like lerp, but a little more to it..
Please forgive if the math is a little off, but I think this will work, and a good starting point to experiment with in the least..