A macro is basically a automated program you run to do certain tasks in HFSS. For example, if you do alot of antenna problems, you can have a macro that will ask you the size of the air box and it will automatically draw it and setup the radiation boundary for you. Otherwise you will have to draw the box yourself and then apply the boundary conditions.
Yes, you can use macro in HFSS 9.0. Go to Tool > Record Script. You can also edit the script afterwards... it is a visual basic script.