On reading this post, it sounds as if what Dami wants to do is simply to assign a key combo to the File | Close All
menu item. That is easy (
) to do, and does not involve keystroke macros at all.
Go to Tools | Customize and press the Menu button.
Select your main menu and press Edit.
Find the File | Close All menu entry in the scrolling window, and press Edit.
Press the ellipsis (dot-dot-dot) button that follows the Close All command.
Press the Edit button.
Press the ellipsis button that follows the Primary Key field.
Press your key combo to assign it to the command. (In your case, press Ctrl+Shift+Alt+A.)
OK/Close your way out of all (!) dialog boxes.
And you now have File | Close All
assigned to the key of your choice!