Yes, you have to place it in the XLSTART folder which varies based on your operating system.
Excel will load all files in that folder when starting up.
See following links to pinpoint the location of the XLSTART folders:http://support.microsoft.com/kb/291218
For later versions of Windows and new Excel, see this link:http://wheatblog.com/2011/08/where-is-t ... k-located/
If you save the Excel workbook with your saved macros in the same Add-ins folder, it will not load unless it is saved as a XLA (add-in) file.