If it's a bother for you, it's simple enough to fix the file open issue.
Right click on the file, choose Open With -> Choose Program
In the window there will be a list of programs that can open the file type. Choose the one you want and click Always use this program to open....
Alternately, you can go into Tools -> Folder Options Click the 'File Types' tab and scroll through the list till you find MAC. Highlight it, then in the lower pane click Change and select whichever editor you prefer to open the file. Save it and voila. Now when you want to create a new macro, all you need do is File -> New -> MAC Paint file and your editor will open and you'll have the same few lines you did when it said Macroquest macro as the file type. Existing macro files will also open normally with your editor.
If for some reason you ever change your mind you can always restore it to the default settings for MAC paint by clicking Restore.
There's a way to edit the name of the file in the menu but I was never that bothered by it to do it. If it ain't broke don't fix it...