Save in the personal.xls file which is stored in your xlstart folder. You may not have this file as its created when you record a macro and select Personal Macro Workbook in the Store In dropdown. You can do a dummy record then open the personal.xls file and pop in your code or just create a new file with this name. Note the files in xlstart normally have the hidden attribute so show all files via Tools|Folder Options|View in My Computer.
If you want a macro to be available whenever you use Excel
- select Personal Macro Workbook in the Store macro in box, if you are recording it;
- Type or copy your code into the code window of the module relevant to Personal.xls
Put the name of the file containing your macro in here:
Tools > Options > General Tab ...
"Alternate Startup File Location" = _____________ (put your filename with the macro here)
This allows the macro in your file to be shared with other open workbooks while you're working in Excel.
 -- Or do what the previous guy said. Either way, it's going to open up an extra workbook every time you start Excel. Personally, this is annoying to me, but it seems to be the only way to do it.