When you right click on the button, do you get a popup that has:

Cut
Copy
Paste
Properties
View Code
CommandButton Object
Grouping
Order
Format Control

????

There are two toolbars that can be used to put buttons, combo boxes, etc on a worksheet. one is the Control Toolbox toolbar (which gives you the commands above) and the other is the "Forms" toolbar, which would give you the "Assign Macro" option when right clicked. Make sure that you have the Forms toolbar added and that you are using the correct toolbar button.

PS, you can use either to run a macro. On the Control Toolbar, you can click on "View Code" and manually key the Macro() you want to run.