To even begin consideration for a job at Macy's you have to apply online for an open position that is available. During the application there is a prerequisite questionnaire that will gauge your interest and capabilities for the job you're applying for. The rest of the application is pretty much routine, experience, references (depending on the position you'r applying for), a long list of EEOC questions, providing and email address, etc. If you meet what they are looking for, either a computer or a person at their HR headquarters will OK you to the next process which is scheduling an interview.
To schedule your appointment you have to go through a link that is emailed to you once you are considered eligible for the position. All of this is through their website, which will show you a number of upcoming dates that are open for interviews. On each of those dates there are specific times from which you can choose from, depending on manager availability and/or previously scheduled interviews. After you scheduled your appointment the website will give you specific instructions on how to get to their HR offices within the store you are applying for, the same information will be emailed to you.
The Interview process is pretty much standard across the board, a manager for the area you applied for is called to interview you, usually it's someone that is on call at the time.