First you must determine which of the two cables entering the box is the power source, and which goes to the light fixture. The one with the single wire that goes to the dual device without any wire nuts is probably the cable to the light fixture, but the way to tell for sure is to disconnect the hot (black) wires of both cables and test them with a volt meter.
If you want the GFCI to protect all the outlets, but leave the light on if it trips, wire it like this:
Break and remove the tab between the two hot terminal screws on the dual device.
Use a wire nut and a white jumper to connect the white wire from the power source to the white wire to the light fixture, and to the silver LINE screw on the GFCI.
Use a wire nut and a black jumper to connect the black wire from the power source to the brass LINE screw on the GFCI, and to one of the switch screws on the dual device.
Connect the other switch screw on the dual device to the black wire to the light fixture.
Use a white jumper to connect the silver LOAD screw on the GFCI to the silver outlet screw on the dual device.
Use a black jumper to connect the brass LOAD screw on the GFCI to the brass outlet screw on the dual device.
If your GFCI outlet doesn't have LINE and LOAD terminals, or if your dual device doesn't have four screw terminals, then you have unusual equipment and this diagram won't make sense. In that case, modify your question to describe your devices.