It really depends on the application. Most Word macros are kept in the Normal.dot file. In Vista and 7 that'll be found in c:\Users\[username]\AppData\Roaming\Microsoft\Templates.

Most Excel macros are saved in individual files. However, you can have a global template file. If you had one, it would be located in C:\Program Files (x86)\Microsoft Office\Office11\XLStart

Hope this helps.

-SW