Older versions of Excel do not permit you to use references to other worksheets in Conditional Formatting criteria. The workaround for that is to use a named range in place of the reference to the other worksheet.
Step by step instructions:
1. On Sheet1, select column A
2. Click in the Address bar (at far left of formula bar), then type Sheet1.A and hit Enter. This will create a named range "Sheet1.A" that refers to Sheet1!$A:$A.
3. On Sheet2, select column A
4. Open the Conditional Formatting menu item and choose New Rule and then "Use a formula to determine which cells to format"
=MATCH($A1,Sheet1.A,0)
5. Click the Format button, then pick a Fill color
Sample workbook on my SkyDrive that will work in Excel 2003 through Excel 2013
[URL unfurl="true"]http://sdrv.ms/17Vo5d7[/url]
Although I named Sheet1 column A "Sheet1.A" with an embedded dot to show both the sheet name and column, this is not required. You could just as well have called the named range "Tony"
By way of explanation, the MATCH formula will return an error value if the value in Sheet2 column A is not found in Sheet1 column A. Conditional Formatting ignores error values. If a match is found, Conditional Formatting will interpret any number other than 0 as TRUE.
Brad