Security has been beefed up quite a bit with the latest release. You might
want to check with your IT department if you are allowed to change the
default setting (some IT departments set up policies that prevent you from
changing the defaults).

If no luck there, a Microsoft support group will be a good option as well.

In terms of your second question, there is no need to use macros for what
you want to do.
On a separate sheet, define two columns with code and abbreviation for
state. Now, using VLOOKUP, process the long list against your new table.
Your formula will look something like this:
A1 = (386) XXX-XXXX
B1 = characters 2 to 4 only (display is 386)
C1 = =VLOOKUP(B1, Sheet2!A2:B51,2, FALSE)