OK, there are a couple of extra things you need to do and then you're done:
1. C2 works with 0 degrees angle facing to the right, so angle all of your thruster flame images 90 deg to the right in the sprite editor.
2. Change your space ship so that all images face to the right as well. (although these first 2 steps aren't strictly required for a simple project, this will help you when your projects become more complicated).
3. Add a new image point to EVERY frame of the spaceship where you want the thruster to be pinned.
3. Add 2 events in your spawn spaceship event:
Set spaceship.angle to 90 degrees (so it faces down)
Spaceship:spawn thruster at imagepoint 1
That should do it. Let me know if you get stuck.
If you set them both into a container then you won't need the spawn thruster command, but you will still need to position the thruster to imagepoint 1 before pinning it.
Edit - the imagepoint 1 on every frame is just where the thruster will be set to. If the space ship animation frame doesn't have the imagepoint 1 when the thruster's position is set then it will move to the default instead. The pin location will then be set irrespective of where the next imagepoint 1 position is set (ie it doesn't pin to the imagepoint number, only the x,y position).