Try this:
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.
[edit] -- 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.