This may not be the most efficient way (can handle 25k cells in a few seconds, though), but it more than makes up for it in simplicity.
This will look at every cell in Sheet2 and compare it against the value in the cell at the same address in Sheet1 of the file you specify. If it's different, the cell in Sheet2 is highlighted yellow.
Sub FindDifferences()
Application.ScreenUpdating = False
Dim cell As Range
Dim wkb1 As Workbook
Dim wks1 As Worksheet
Set wkb1 = Workbooks.Open(Filename:="C:\MyBook.xls")
Set wks1 = wkb1.Worksheets("Sheet1")
For Each cell In ThisWorkbook.Sheets("Sheet2").UsedRange
If cell.Value <> wks1.Cells(cell.Row, cell.Column).Value Then
cell.Interior.Color = vbYellow
End If
Next
wkb1.Close
Application.ScreenUpdating = True
End Sub
Note:
You could easily tailor this to compare 2 sheets in the same file by simple removing the wkb1 and wks1 variables and changing wks1.Cells...
to Sheets("Sheet1").Cells
...