This is one way to do it:
Perhaps give the sprite a variable called climb, then when you press Up while overlapping a ladder set the variable to 1. For another event, check if variable = 1, then set Y vector and gravity to 0. As a sub events of the variable = 1, do a check to see if player is jumping off ladder or no longer overlapping ladder (set variable to 0), then another to see if they're pressing Up/down to climb up/down.
I made an example, its not perfect but might give you an idea:
dl.dropbox.com/u/1024727/c2/ladderexample.capx