charles is right you need to have the workbook saved as Macro Enabled. When you select the file type as you are saving the workbook this is usually the 2nd option in the list. The main workbook format is in the top of the list.

Once you have the shape in your workbook, right click on it and then click on "Assign Macro" when you do it will allow you to select the macro to use.

Let us know what you come up with.

Thanks