A stand-alone autorun xlm file, when clicked, will automatically
run the macro. Is there a vba equivalent of such thing? All the
script files (.bas) I created, when clicked, ask me to choose a
program to open them. And when I choose Excel, Excel simply opens
the files but does not run the macro.

What do I need to do to be able to double-click a vba file and run
the macro, without running Excel first?