In order of asking:
Macro files are saved at Blockland\base\config\client\SavedMacros.
Did you enable the saver in the addons list perhaps? idk.
When you press the key to open the macro saver, you will get a gui that lists your macros, and has a save button and a load button. If you pick something from the list, it'll appear in the bottom text box, and you hit load. Your brick inventory and macro will be applied. If you want to save a macro, you type a name for it in the textbox, and hit save. Pressing the key just toggles the GUI.