Ah the number of time's you've hoped that the VBA Editor's Immediate window could be attached to Excel's own window. That's not going to happen soon I think, so here's a tip how to quickly open and activate the Immediate window with some shortcut keys:
Alt + F11 Ctrl + G
Alt + F11 opens VBA Editor and Ctrl + G activates the Immediate window. Convenient way to help your spreadsheet editing especially with short single-line macros.