Son of a gun, Jaafar, I'd seen this question here before and had seen responses like Tom's (I think verbatim); so I was very surprised to see it done! Kudos!
FWIW - I tried to get this to work with a larger set of cells. While it appears to "sort of work" the results are "spotty" at best - at least with my CPU...
<font face=Courier New><SPAN style="color:#00007F">Public</SPAN> <SPAN style="color:#00007F">Declare</SPAN> <SPAN style="color:#00007F">Function</SPAN> GetCursorPos <SPAN style="color:#00007F">Lib</SPAN> "user32" (lpPoint <SPAN style="color:#00007F">As</SPAN> POINTAPI) <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
<SPAN style="color:#00007F">Public</SPAN> <SPAN style="color:#00007F">Type</SPAN> POINTAPI
x <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
y <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">Type</SPAN>
<SPAN style="color:#00007F">Private</SPAN> <SPAN style="color:#00007F">Type</SPAN> Coordinates
lngLeft <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
lngRight <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
lngTop <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
lngBottom <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>
rngCell <SPAN style="color:#00007F">As</SPAN> Range
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">Type</SPAN>
<SPAN style="color:#00007F">Dim</SPAN> lngCurPos <SPAN style="color:#00007F">As</SPAN> POINTAPI
<SPAN style="color:#00007F">Dim</SPAN> Cancel <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Boolean</SPAN>
<SPAN style="color:#00007F">Public</SPAN> <SPAN style="color:#00007F">Sub</SPAN> ChangeCellColor()
<SPAN style="color:#00007F">Dim</SPAN> r <SPAN style="color:#00007F">As</SPAN> Range, coorCells() <SPAN style="color:#00007F">As</SPAN> Coordinates, l <SPAN style="color:#00007F">As</SPAN> <SPAN style="color:#00007F">Long</SPAN>, c <SPAN style="color:#00007F">As</SPAN> Range
<SPAN style="color:#00007F">Set</SPAN> r = Selection
<SPAN style="color:#00007F">ReDim</SPAN> coorCells(r.Count)
Cancel = <SPAN style="color:#00007F">False</SPAN>
<SPAN style="color:#00007F">For</SPAN> l = 1 <SPAN style="color:#00007F">To</SPAN> r.Count
<SPAN style="color:#00007F">Set</SPAN> c = r.Cells(l)
<SPAN style="color:#00007F">With</SPAN> ActiveWindow
coorCells(l).lngLeft = .PointsToScreenPixelsX(c.Left)
coorCells(l).lngRight = .PointsToScreenPixelsX(c.Offset(, 1).Left)
coorCells(l).lngTop = .PointsToScreenPixelsY(c.<SPAN style="color:#00007F">To</SPAN>p)
coorCells(l).lngBottom = .PointsToScreenPixelsY(c.Offset(1).Top)
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">With</SPAN>
<SPAN style="color:#00007F">Set</SPAN> coorCells(l).rngCell = c
<SPAN style="color:#00007F">Next</SPAN> l
r.Interior.ColorIndex = 24
<SPAN style="color:#00007F">Do</SPAN>
<SPAN style="color:#00007F">For</SPAN> l = 1 To r.Count
GetCursorPos lngCurPos
<SPAN style="color:#00007F">If</SPAN> lngCurPos.x > coorCells(l).lngLeft And lngCurPos.x < coorCells(l).lngRight <SPAN style="color:#00007F">Then</SPAN>
<SPAN style="color:#00007F">If</SPAN> lngCurPos.y > coorCells(l).lngTop And lngCurPos.y < coorCells(l).lngBottom <SPAN style="color:#00007F">Then</SPAN>
coorCells(l).rngCell.Interior.Color = vbYellow
<SPAN style="color:#00007F">Else</SPAN>
coorCells(l).rngCell.Interior.ColorIndex = 0
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">If</SPAN>
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">If</SPAN>
DoEvents
<SPAN style="color:#00007F">Next</SPAN> l
<SPAN style="color:#00007F">Loop</SPAN> <SPAN style="color:#00007F">Until</SPAN> Cancel = <SPAN style="color:#00007F">True</SPAN>
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">Sub</SPAN>
<SPAN style="color:#00007F">Public</SPAN> <SPAN style="color:#00007F">Sub</SPAN> CancelProcedure()
Cancel = <SPAN style="color:#00007F">True</SPAN>
<SPAN style="color:#00007F">End</SPAN> <SPAN style="color:#00007F">Sub</SPAN>
</FONT>