Yep, thats perfectly possible.
Open up the VBA editor (from Tools), I'm assuming you know your way arround the VBA editor.
Then double click on ThisWorkbook on the left and copy this code in...
Private Sub Workbook_BeforeSave(ByVal SaveAsUI As Boolean, Cancel As Boolean)
MsgBox "Saving now..."
End Sub
Replace Msgbox "Saving now..." with a call for the macro you wish to execute.
Let me know how you get on.
Matt