probably need more specifics (do you want the sprite to instantly follow, lag behind, go to via a pathfind, line of site etc. etc.?)
If you want the sprite to instantly follow, simplest way I would know.
Sprite: Add instance variable "touch" as a number.
On mouse left click, set sprite.touch = 1
Condition: Every tick
Condition: Sprite.touch = 1
Action: Set sprite position: mouse.x, mouse.y
On mouse right click, set sprite.touch = 0
(the basic idea anyway)