As others have noted, it's easily accomplished. But I hope you're aware of
the risks - it doesn't afford you the opportunity to examine macros in files
received that you have no knowledge of. I personally keep my level in 2003
set to Medium, and put up with the extra key-click to open even my own files
with macros in them.
A couple of other things you might consider.
If your files have macros in them that you've written, consider creating
your own personal Digital Signature (search Excel Help and it'll tell how) to
sign your own project with, then you can set the trust level for your
signature so that those files will open without prompting while retaining
security notice for files received that aren't signed by you.
When you eventually (and I'm not pushing you to upgrad, just pointing out a
new feature of 2007) move to 2007 you'll find that you can set up trusted
locations (specific folders or networked locations) which are declared exempt
from macro security level setting, effectively turning it off/LOW for files
opened from those trusted locations.