No, I mean that it responds to events, things that happen. For instance, if
it is a commndbutton, there is a click event associated with it and you can
code that event. A combobox has a click event, but it also has a change
event. You can code to both. Because the controls have programmable events,
it offers greater flexibility.

"Are you talking about VBA, macro etc.?"

Yes and no - an event, as Bob Phillips is some action that takes place such
as a click on a control or a change in the contents of a cell on a worksheet.
In response to such an event, quite often certain VBA code is excuted.  
Example might be this in response to clicking on a command button:

Sub Command1_Click()
   MsgBox "You clicked Command Button 1"
End Sub

If you're going to use the controls right on an Excel sheet, you may want to
look at the Forms toolbar rather than the Control Toolbox.  They have similar
groups of controls, but the ones from the Forms toolbar are really created to
integrate with worksheets well: you can set up a cell to 'reflect' what
happened to a control, or which item was selected from a list or combo
box(drop down), and even have lists and dropdowns get their contents from a
group of cells on the worksheets.  

Again, as Bob Phillips said, those Forms controls have 'wizards' to make
their set up very easy.  Draw a control on the worksheet, right-click on it
and use Format Control to set the properties.  And [F1] works great while
doing that.