A Macro is executed when any of its Macro Triggers is activated. There are several triggers to choose from, the most common being a Hot Key, that is a Macro is executed in response to a keystroke, usually in conjunction with one or more modifier keys. You can also trigger a macro by typing a string. Or you can display a Macro Group as a floating palette, or execute macros remotely.
Hold the option key down while adding a new trigger to get help on that trigger.
You can also trigger macros by name using the Trigger Macro by Name action, which in turn can be in a macro and triggered any way you desire.
The Hot Key trigger is perhaps the most common and most basic of all triggers. When you press the configured keyboard key, the system swallows the keystroke, and Keyboard Maestro executes the macro.
The Typed String trigger is also very common, it lets you execute a macro in response to a sequence of keys like an abbreviation.
The Global Macro Palette trigger lets you add your macro to a floating palette, so you can trigger it by clicking on the macro name in the palette.
The Status Menu trigger lets you add your macro to the Keyboard Maestro status menu so you can trigger it by selecting the macro name from the status menu.
There are many more triggers, and you can learn more about them on the wiki Triggers page.