Hi

The following code from Debra Dalgleish will do what you want.

Copy the code below, right click on the sheet tab with your autofilter
data>ViewCode>Paste.
Click back onto youe worksheet
Save the file

Now, when a filter is active, the whole cell containing the autofilter
dropdown will be coloured.

Private Sub Worksheet_Calculate()
'rem Code created by Debra Dalgleish
 Dim af As AutoFilter
 Dim fFilter As Filter
 Dim iFilterCount As Integer

 If ActiveSheet.AutoFilterMode Then

   Set af = ActiveSheet.AutoFilter
   iFilterCount = 1
   For Each fFilter In af.Filters
     If fFilter.On Then
       af.Range.Cells(1, iFilterCount) _
         .Interior.ColorIndex = 6
     Else
       af.Range.Cells(1, iFilterCount) _
         .Interior.ColorIndex = xlNone
     End If
     iFilterCount = iFilterCount + 1
   Next fFilter
 Else
   Rows(1).EntireRow.Interior.ColorIndex = xlNone
 End If
End Sub