To macroexpand a macro form before reaching it in the Stepper, position the cursor at the start of the macro form and choose the menu command
Debug > Stepper > Macroexpand
or click 
in the Stepper toolbar. You can only this when the Stepper has already stepped the function.
Sometimes it is useful to expand macros in outer forms, to allow the more detailed stepping of their expansions. For example, for a definition such as
(defstruct foo (x (print 10)) y)
(make-foo)
expanding the
defstruct
form allows you to step more of the constructor.
LispWorks IDE User Guide (Windows version) - 25 Nov 2011