Because macros can change semantics of the core language constructs, you have to explicitly opt-in into using them. This was a very early design decision.

require does not look for files at all, the module has to be already loaded in order for it to work in the way you are trying. If you add to the top of your file Code.require_file("my_math.exs"), you should see it start working. If you do $ mix new my_project and put these files in lib (as .ex files not .exs) you won’t need to do anything and the compiler will find the right file automatically; this is the typical way to do things. After that, run $ iex -S mix and your code will be available for execution (type into the prompt MyLib.go()).

As for the code you’ve written, you don’t need a require statement at all. Requires are for loading macros before they’re used, which your function is not (its just a plain function). You can remove the require MyMath and everything will still work fine.
You can read more about alias, require, import and use here: https://elixir-lang.org/getting-started/alias-require-and-import.html

Without a doubt you are causing yourself more headache than its worth. Create a new mix project and put the files in lib and call it a day. Mix makes this easy for this very reason.