1. When you enter the VBE, there should be a Project Explorer pane on the left-hand side. If there isn't, hit [Ctrl] + [R], or go to View | Project Explorer.
2. In the Project Explorer pane, you should see a list of all the spreadsheets and add-ins that are currently open. Select the spreadsheet that is giving you this warning from the list. If there is a "+" sign next to the spreadsheet's name, click on that to expand the sections of the spreadsheet's code. You should see folders like "Microsoft Excel Objects", "Forms", or "Modules". Expand each of these folders as well.
3. If there is a "Modules" folder, chances are there is a macro in there. If there are individual modules under this folder, double-click on them to see if they contain any code.
4. If the only folder is "Microsoft Excel Objects", double-click on each of the individual sheets as well as ThisWorkbook. If any of them contain any code, this would result in the macro warning you are seeing.