Source Can the Excel 'cursor' or 'cell outline' color be changed? So, yes, it is do-able, but you'll lose your undo facility.
There is one massive drawback, and that is that this technique will use something called 'Event Procedures', which means that the macro will fire every time you move the cursor - and every time a macro fires it will clear your undo stack.
You can use the code ('Highlighting The Active Cell') below.
