Most of you have probably never even asked yourself this question, simply because it didn't really matter. In many cases, it's simply a virus that you're trying to get rid of; even Microsoft Word and Excel warn you when they encounter one. Below is a link to the article I wrote that explains what a macro is, what they were used for, and why it doesn't matter:
What Is A Macro? Does Anyone Really Care?
But as I state in the article, macros were quite useful before Microsoft Windows came along. That was when we used DOS instead of Windows, no mouse (that's right) and relied heavily on keystrokes to save time. In those days, WordPerfect 5.1 was the undisputed heavyweight champion of word processing programs and basically put macros on the map (man, I've really dated myself, haven't I?)
Needless to say, word processing applications (along with all office suite packages) have involved quite nicely since then - so much so that saving time isn't really an issue anymore. This makes the use of macros just about useless, with the exception to mostly programmers. In Microsoft Office Word 2007, you have to save your document as a DOCM in order to even have your document macro-enabled.
So my answer to the original question is this ... unless you're just curious, don't worry about what a macro is. Of course, I'm sure some of you are asking yourselves "DOS? What in the world is DOS?" My answer to that question is the same.