Macros are a way of executing VBA script within your QlikView document. I wouldn't recommend using them unless there's absolutely no other way of accomplishing the action you need, there are a number of reasons for this.
Macros are slow. Very slow.
Most actions can be accomplished using non macro actions.
Macros that involve making selections have an impact on the users' server cache. This makes your document less responsive.
I don't believe they work in the Ajax client (though I may be wrong)
One more reason to avoid them is that they are a royal pain when it's time to upgrade. I don't believe there's a long term future for them so you may solve a problem today but create one for the future.
