Not so much 'why's it still possible' as 'why was it ever...'
I must be some sort of Luddite.
After playing with computers for, what, forty years now, I *still* am unable to fathom why anyone, ever, thought it was a good idea to build software that allows this kind of thing. A word processor is for tangling/mangling words, not for downloading random software.
Since Joe Public (and probably most Reg readers) lack the time, inclination, or ability to see what a macro is going to do once it's opened, they're going to click 'allow' anyway. It's not that Joe is stupid, it's that he doesn't expect what he gets: in his eyes, getting something like this from opening a document is on the same order of things as sticking bread in the toaster and getting a fried egg back. It's not something that should even be able to happen.
Biting the hand that feeds IT
