I am trying to create a macro that turns my F12 key into a shortcut
for ALT-S-R in all my workbooks. I use that series of keystrokes often
through Essbase, a Database add-in used through Excel.

ALT-S-R are the keystrokes to retrieve data out of a database. If no
range is highlighted it puts the top corner of the range in the active
cell; however, if you hit ALT-S-R while there is a range of cells
highlighted, you will only populate those cells in the highlighted
range with the data.

I know at least some version of what I'm trying to get is possible. I
had it working for a little while through trial and error but only for
the active cell. It ignored the fact that I had a range of cells
selected. So as I was trying to tweak it, I closed my VBA without
saving what I had, and now I can't even get back to that shortcut
working at all.

I currently have disabled my F1 key with:

Private Sub Workbook_Open()
Application.OnKey "{F1}", ""
End Sub

in my PERSONAL.XLS Objects folder.

When I try this...

Private Sub Workbook_Open()
Application.OnKey "{F1}", ""
Application.OnKey "{F12}", "%sr"
End Sub

I get "The macro '...\Excel\XLSTART\PERSONAL.XLS'!%sr' cannot be
found."

Also, I am a bit confused as to the difference between doing it this
way, or by putting it in a Module as a Auto_Open Macro, and which way
is more effective/efficient.

I would appreciate any feedback on any of the issues. Thanks!