On top of what Otto wrote:
Say you have a function in your personal.xls file called "myfunc". If you want
to use it in another workbook, you can write your formula like:
=personal.xls!myfunc(a1,a3,a5)
(pass the right arguments, though).
I've saved my personal.xl* file as an addin. The macros in it are not visible
under Tools|Macro|macros..., but I've customized my toolbar to have access to
them.
But when I want to refer to a UDF in my personal.xla, all I have to do is:
=myfunc(a1,a3,a5)
It looks like it's built into excel--or like the analysis toolpak functions.