Be sure that Minitab knows where to find your downloaded macro. Choose . Under Macro location browse to the location where you save macro files.
If you use an older web browser, when you click the Download button, the file may open in Quicktime, which shares the .mac file extension with Minitab macros. To save the macro, right-click the Download button and choose Save target as.
Suppose your data are in C1-C5, and you want to store the coefficients of multiple correlation in C6 and the column names in C7. Choose and type:
%MULTCORR C1-C5;
STORE C6 C7.
Click Run.
Reference
Neter, Kutner, Nachtsheim, and Wasserman (1996). Applied Linear Statistical Models, 4th edition. WCB/McGraw-Hill.