What it is
As defined in the Runner Menus and Toolbars page, a macro is essentially a bunch of things that can be done with the press of a key.
How to do
First, click the Macro menu and click on Edit Macro. The Edit Macro window will open. Then, click Add, type the name in the textbox and click OK. Our first macro is partially created. Now, here comes the fun part: You should see that there is a huge textbox on the right side of the Edit Macro window. It's in that textbox that all in-macro commands will be typed. Click the textbox and type direction commands, each on one line. Then click the drop-down menu Shortcut and select a key. Once everything is done, press the macro shortcut key and all commands will be executed.
WARNING: Macros are normally used for testing. Any use of macros in finished games is considered cheating!