Make an event with two conditions :
First condition : Right arrow down
Second Condition : Up arrow down
Action : Set animation to "Jump Right"
Note : You have to create the animation first.
Some images to help you:
How to add another condition
<img src="http://i.imgur.com/Tt3fR7G.png" border="0" />
Creating the animation for the player
(Follow the steps):
<img src="http://img5.imageshack.us/img5/9694/3ge9.png" border="0" />
<img src="http://img708.imageshack.us/img708/1932/v2pb.png" border="0" />
<img src="http://i.imgur.com/RYe0JIf.png" border="0" />
Last result
<img src="http://i.imgur.com/Jod7YMz.png" border="0" />