They are, put simply, a script that Macroquest reads and executes on your toon. For example, there are macros complex enough that will play a cleric or enchanter with little or no human interaction.
You can only run one macro at a time.
To use a macro, find one you like the look of (either here or on the Macroquest forum), copy the macro onto your clipboard and paste it into notepad then save the file into your macroquest/macro directory, you can call it whatever you like as long as it has a .mac extension.
After the file is in your macroquest directory just type: /macro (filename) in game.
All you need is a working copy of Macroquest, you can either compile your own copy or download a "pre-compile" from here.