Is Adobe Acrobat 7.0 installed on the computer? If yes, then the
Acrobat 7.0 Create Adobe PDF toolbar add-in for Word prevents
Word from automatically saving changes to the normal.dot template
(which is where toolbar customizations are stored). See
http://www.adobe.com/support/techdocs/331259.html for several
solutions to the problem.

Robert T wrote:

Several co-workers and I have the same exact problem. In Word 2000, we could
create a Macro and drag it to the toolbar and it always worked perfectly.
After we switched to Office 2003, we could do the above and it still works as
designed. However, every time we close Word, the Macro, which was working
properly, would disappear from the toolbar. As mentioned above, it appears to
happen with everyone, so it isnt an individual user issue.

Thanks,
Robert