ToolBar/Exe Vs Macro

[Ash]

if i had a toolbar how do i make it so wen u click on the icons a drop down menu pops down asin having diffrent options within a single icon on the toolbar....im looking to have a icon which can list several websites so when they click on it it will load the website.

also....

can some one explain how a exe is made....is it in the same way as making a macro?
i dont mean a step by step guide..im just woundering if its better to make an exe instead of macro?

Thanks Again