Hightlight the column in the first worksheet starting with Cell A1 (if that's the first cell). Give it a name "Insert, Name" (-- XL2003 and lower). For example Set1.
With the column still highlighted go to conditional formatting and under "Formula is" type =COUNTIF($A$1:$A$40,A1)>1 if A1 to A40 is your range. Apply a formatting and click OK until all pop-ups disappear.
Go to the next sheet, highlight the column starting with cell A1 (again, if theat's the first cell), go to conditional formatting and for "Formula is" type =VLOOKUP(A1,set1,1,FALSE)=A1. Apply formatting etc.
The result will be duplicates in the second sheet that are also on the first sheet. And you can do this for the rest of the worksheets.
(Please note, evrything here refers to cell A1; you may need to adjust)
If you really want all duplicates for all sheets, then there are scripts out there, you need to search.
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