Although I have already reported this as a KB article sometime ago, I decided it to be useful to post this here too:
Sometimes Excel VBA behaves unexpectedly. Here is an example:
You are running code that is meant to open one or more files using the Workbooks.Open command. As soon as you hold down the shift key when this command is being processed, macro execution stops and your program is terminated entirely. This will even happen if you are e.g. editing an email message in Outlook whilst Excel VBA is processing the code in the background.
Read more on this page.