After moving 'My Documents' folder to a different drive, I started getting an error when loading the macro's explorer window. The error was:

Cannot load macro project '' for the following reason:

'C:\Users\

\Documents\Visual Studio 2008\Projects\VSMacros80\Samples\Samples.vsmacros' is an invalid or inaccessible macro project file

The problem is when you move your documents folder, this updates the environment variable %USERPROFILE%, but the macro's path for Visual Studio are stored in the registry.

Searching the registry I found the following two keys which had a 'path' value, referencing the C:\.

HKEY_CURRENT_USER\Software\Microsoft\VisualStudio\9.0\vsmacros\OtherProjects7\0
HKEY_CURRENT_USER\Software\Microsoft\VisualStudio\9.0\vsmacros\RecordingProject7

To solve, change the 'path' values in the above keys to your new location and restart Visual Studio.