It depends of your PSPad installation. Macros are stored in Macro folder. If you install PSPad as portable, folder is as subfolder of the PSPad folder. In standard installation is it stored in %APPData%\PSPad folder
If you have at least PSPad 4.5.7, you see the folder location in Program setting / Backup on the bottom on screen. The path is clickable. -- <http://forum.pspad.com/read.php?2,61797,61798> PSPad freeware editor http://www.pspad.com
