From xenowiki

Goto your wow installation folder:

C:\Program Files\World of Warcraft\WTF\Account\ACCOUNT_NAME

Inside you will see a global file in the main directory called macros-cache.txt and a macros-cache.txt will reside in each character folder (each folder contains the mod/saved data to allow each character to be completely unique).

You can open the file up and just start editing directly there, it is a lot easier then using blizzards UI.

Note: Just to add a new macro just copy a old one and paste it.

Copy

MACRO 26 "Water Elemental" Spell_Frost_SummonWaterElemental

/cast Summon Water Elemental

/script PetActionBarFrame:Show();

END

Paste Notice the bold for changes

MACRO 27 "bleh bleh" Ability_Creature_Cursed_04

/cast Summon Water Elemental

'/cast bleh

/script PetActionBarFrame:Show();

END

Once you are back in the game change the icon to what you want and put it on your bar.

Also you should remember if you put the macro in your character folder macros-cache.txt then it will be on that specific character only and you must select that tab to access it. The main folder contains the macros-cache.txt with macro's that are available to all characters under that account.