Most people come to Macau with a ferry from Hong Kong, either the airport or Hong Kong Island. In our case, we came with TurboJET from Hong Kong Island. If you know when you want to travel, I highly recommend purchasing tickets in advance as otherwise you will often have to pay extra for premium class or to wait an hour or more before you can hop on one of the ferries.
Senado Square is the starting point for most tourists for their tour around Macau. You can get there from Macau ferry terminal either with a taxi or by taking a local bus (3, 3A, 10, 10A) which stop right in front of the square.