I use this macro to filter crosstabs. However, I restrict the selection range to text labels and not the numeric data. The macro will crash if you double-click a cell containing numeric data.
If you are getting into VBA programming, then I am afraid you will experience bugs from time to time. But it's not the end of the world. If in doubt, always keep a backup of your workbooks when experimenting with VBA.
When you find code snippets on the internet, sometimes (or usually) you will need to make modifications to make the code fit your purpose. In fact, this is how most people get into VBA programming. They start out findings macros on the internet, and they find the need to make adjustments to the code to match their purposes. Also not everyone is looking for complete routines. Many of the people using this forum will be looking for snippets of code. They know how to write VBA but they just need to figure out how to do a particular task (such as filtering a worksheet).
Now as to whether or not you want to use this code, that depends on your workflow. I use it in a workbook with about 100 worksheets of crosstabs and I am reading the data as quickly as possible. I don't generally need to edit the data. But if I did I could either press F2 or just place the cursor in the formula bar. Another option is to disable the code temporarily while making changes (by commenting out the code). So my data will usually have a bunch of product names ets in column A and then the other columns will contain some numeric data. I'll only filter column A using this macro.
Another possibility is adding additional conditions to the code. I mentioned before restricting the selection range. Another possibility would be to check the data type of the cell being selected. So you could add a rule that asks if the cell valule is numeric, if so abort the code etc. The snippet provide above is just a snippet that shows how to use the a worksheet event to filter a range.
The code below is a variation on the above macro that I use in one of my workbooks. It doesn't cause me any problems, but it has additional conditions. But I can't guarantee it will work flawlessly in your situation. If you want to use snippets of code on the internet then you will occasionally need to play around with it to get it to do what you want it to do.
VBA Code:
Private Sub Worksheet_BeforeDoubleClick(ByVal Target As Range, Cancel As Boolean)
' this version works for any column not just the first column
Dim Col As Long
' If the user double clicks a data value then nothing happens
If IsNumeric(Target.Value) = True Then Exit Sub
' otherwise autofilter is activated
Col = Selection.Column
Selection.AutoFilter Field:=Col, Criteria1:=Target.Value
Range("A1").Select
End Sub