Kylus, I'm not sure what's happening, but check to make sure you're using the correct toolbar to create the items. There is the Forms toolbar and the Control Toolbox toolbar.
Objects from the Forms toolbar, when right-clicked, have an 'Assign Macro' option.
Objects from the Control Toolbox (aka "ActiveX" in Excel 2007) toolbar, when right-clicked, show options such as Properties and View Code.
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