When you place an order on Macys.com, you'll be able to enter in the Macy's gift card number at checkout. Just step through the first few online checkout steps, and you will eventually get to the page that has the Gift Card box. When you get to the page, just enter the number on the back of your Macys gift card, including the 3 digit number.
FYI, the Gift Card box, should be on the final page before "Placing your Order", so you'll be able to see the deduction before checking out.
The Gift Card box is on the "Choose a payment method" page, below the area where you enter a credit card. Look for the "HAVE A GIFT CARD?" section.
Make sure you enter all the numbers in your gift card (including the 3-4 numbers in the second scratch off box, if your card has this).
Also you will have the ability to enter multiple gift cards to be used with any one order.