Entonces el código que debes incorporar a tu hoja es un poco más elaborado. Algo así como:
Código:
Private Sub Worksheet_SelectionChange(ByVal Target As Excel.Range)
Dim MiRango As Range
Application.ScreenUpdating = False
With Application.Cells
.Borders(xlInsideVertical).LineStyle = xlNone
.Borders(xlInsideHorizontal).LineStyle = xlNone
End With
Set MiRango = Application.Union(Range(Cells(Target.Row, 1), Target), _
Range(Cells(1, Target.Column), Target))
With MiRango.Borders(xlEdgeLeft)
.LineStyle = xlContinuous
.Weight = xlMedium
.ColorIndex = 7
End With
With MiRango.Borders(xlEdgeTop)
.LineStyle = xlContinuous
.Weight = xlMedium
.ColorIndex = 7
End With
With MiRango.Borders(xlEdgeBottom)
.LineStyle = xlContinuous
.Weight = xlMedium
.ColorIndex = 7
End With
With MiRango.Borders(xlEdgeRight)
.LineStyle = xlContinuous
.Weight = xlMedium
.ColorIndex = 7
End With
Application.ScreenUpdating = True
Set MiRango = Nothing
End Sub
Espero que éste te sea más útil.
Saludos.