1.) Macros are series of commands that you can set up to go off with one key press (or rather two, as they all require ALT+# or CTRL+#).
2.) On your main menu there is a Macros button. Once you click on that, you'll open up your macro palettes. Each Palette has two rows of ten slots, and you can cycle up or down through nine more palettes just like it (for a total of ten palettes). Click on a macro slot to open up the editing window. From there you can write a macro using the six lines provided to you. FFXI's macro language is incredibly simple to learn, so it will hopefully be pretty easy to figure it out. There are a lot of options, however, so it can be confusing at first.
For instance, for a simple cure spell, you can type:
/ma Cure <t> - This allows you to cast the spell on whatever you are currently targeting. Not a particularly good idea, however, as you may very well want to cure someone else other than your target.
/ma Cure <st> - This allows you to select which target you want to cast the spell on. You can move the cursor around until you find the target you want, or using a keyboard, select one of your party members with the F1-F6 keys. (You can also target the nearest NPC with F8)
/ma Cure <stpc> - This allows you to select which target you want to cast the spell on, but limits your choices to player characters only. Having less targets to cycle through is a huge help. You can alternatively use <stnpc> for spells that you're casting on enemies so as to reduce the number of possible targets the other way.
Here is a writeup of macros from the FFXI Wiki. Read it over, and ask any questions you may have.
3.) Once you have a macro setup, you use it by either hitting the corresponding key combo on your keyboard (CTRL+1 for instance) or by using the trigger buttons on your controller to pull up the macro palettes and selecting the macro you want to use with one of your movement controls and one of the buttons on your controller (I'm not sure which ones off hand).
I'd like to note that this is far from a perfect explanation, and you can count on someone else coming along at some point today to provide you with a far more comprehensive answer. But this is as much as I can be bothered to type at this hour in the morning, so my apologies.
