Before xl2002:

if the workbook isn't shared, you can protect the sheet in code and allow the
existing autofilter arrows to work:

Option Explicit
Sub auto_open()
   With Worksheets("Sheet1")
       .Protect Password:="hi", _
           userinterfaceonly:=True
       .EnableAutoFilter = True
   End With
End Sub

It needs to be reset each time you open the workbook.  (excel doesn't remember
it after closing the workbook.)

(you could use the workbook_open even under ThisWorkbook, too.)

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But when the workbook is shared, you can't change the worksheet protection--so
this code will fail.

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Starting with xl2002, there's an option under tools|protection that allows
existing autofilters to work.