A couple of different "concepts" are being mixed together in this discussion. Quite likely most people don't really need to know the difference, but ...
In most Windows versions, you can assign keys or key combinations to do just about anything that can be done by clicking through a series of steps on menus. This just gives you a "quick key" combination to run an existing command function. A similar feature allows you to add functions to existing toolbars, or to create your own toolbars and choose which "buttons" to put on them, so that you can click once to get a "command" that would other wise require boring down through a sequence of steps on multiple levels of a menu.
The "quick keys" and "toolbar customizing" features are most useful in Microsoft Office programs like Word. They have (almost) nothing to do with "macros," and should be referred to as just "shortcuts."
In Office programs (even in DOS versions) you can click on tools|macros and click "record." The keystrokes you do after the "record" button is turned on are recorded and the sequence can be saved as a "macro" so that they will be repeated automatically whenever the macro is run. More complex things, that can't be done from the keyboard alone, could be inserted into a macro by just typing the commands in, in "macro edit" mode. Once a macro has been created, you can put a button on a toolbar or assign a quick-key combination to run that macro.
Since the discovery of the "macro virus" potential, Office updates have significantly "crippled" your ability to use macros, although until Office 2007 they remained useful if you managed to figure out how to turn off the "macro blocking" that has appeared.
Help files for Vista and for Office 2007 state, ambiguously, that you are no longer permitted to change (some or all?) toolbars or to create macros in Office programs(?). The "macro function" still exists (and appears in Word 2007 if you're clever enough to find it), but Help "says" (as nearly as the term can be used) that you can't do it. According to the Help file, and info(?) at Microsoft web sites, you apparently have to write (and compile?) a program - which seems to require purchasing one or more program language packages, to do it.
As Office 2007 and Vista help files appear all to have been written by advertising department executives (probably with the help of a crew of faith healers), it will be necessary to wait until a competent computer person again penetrates the Microsoft management hierarchy to tell whether anything useful can still be done with either of these programs.