Unless you protect the sheet in a special manner, the dropdowns for your
autofilter won't work on that protected worksheet.

If you already have the outline/subtotals/autofilter applied, you can protect
the worksheet in code (auto_open/workbook_open??).

Option Explicit
Sub auto_open()
   With Worksheets("sheet1")
       .Protect Password:="hi", userinterfaceonly:=True
       '.EnableOutlining = 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.)

If you're new to macros, you may want to read David McRitchie's intro at:
http://www.mvps.org/dmcritchie/excel/getstarted.htm