Honestly, I have no idea how you wanted it to work with the events you had in there, I'm sry.
A better bet would be to put all the letters into one single sprite. You were using Tiled Background objects for no apparent reason btw. You should use sprite objects for the arrows as well.
So all your letters are in one sprite object, all different frames of one animation. Now you set the animation speed to 0, so it won't change the letter on it's own. Then you can use the events to cycle through the frames.
Just have a look at the cap: ABC