In Ableton Live the Instrument Rack device is used to make groupings of other devices that can be combined to create a "superdevice". Macros are fader knobs that can be assigned to multiple parameters on any combination of devices within an Instrument Rack hence allowing you to control multiple device parameters from one knob.
The easiest way to look at an an Instrument Rack is simply as a "box" that you put other devices in, and the easiest way to look at Macros is as knobs you use to collectively control those devices.
Instrument Racks and Macros
Creating Instrument Racks
To make a new Rack go to the device browser and under the Instruments menu choose Instrument Rack
You can then drop any devices you want to use/combine in the Instrument Rack drop palette.
To see all parameters click the display buttons on the left side of the Instrument Rack.This will open up the Macro window as well as the drop display and the devices you have added so far.
Unfolding Instrument Rack groups
In the session view you can unfold Instrument Device channels which allows you to see all the embedded devices as channel representations
Key mapping instrument racks
To keymap instrument racks click the icon that says Key and move the keymap display bars to span the note range(s) you want for each device.
To assign device parameters to Maco faders/knobs, click Map Mode then click a device parameters you want to assign, then click the Map button on one of the macros. You can then repeat the procedure adding new device parameters to the same (or different) Macro, hence the Macro fader/knob will control multiple parameters across different devices.