While this is different in theory from what you posted, it is similar in idea and I thought readers of this thread might find it interesting as well. This event code will highlight the row and column whose intersection is the active cell or cells. Note, because the code is changing the interior color of cells, that assumption is that no cells on the worksheet have their cells colored (if they do, those colors will be lost the first time a selection is made on the worksheet).

Code:
Private Sub Worksheet_SelectionChange(ByVal Target As Range)
  Cells.Interior.ColorIndex = xlColorIndexNone
  Union(Target.EntireRow, Target.EntireColumn).Interior.ColorIndex = 6
End Sub