Here is the code that can help you.

*****************************************************************
Sub CompararCeldasLibros()
Dim numero As Double
Workbooks("AfiliadosxEdadAfiliacion_Sexo04.xls").Activate
numero = Round(ActiveCell.Value, 4)
Workbooks("AfiliadosMujeres.xls").Activate
'Debug.Print "Numero:" & numero
'Debug.Print "ActiveCell:" & Round(ActiveCell.Value, 4)
If Round(ActiveCell.Value, 4) = numero Then
ActiveCell.Interior.Color = RGB(255, 255, 0)
Else
ActiveCell.Interior.Color = RGB(255, 0, 0)
End If
End Sub
*****************************************************************

Functions aren't meant to change  formatting etc. only return a value.

Have your code called from a Worksheet Change event:

Private Sub Worksheet_Change(ByVal Target As Range)
'call your macro here (your macro can remain in a standard code
'module)
End Sub

This should be in the worksheet code module of the worksheet you want
this to happen in. Use Target instead of Activecell or Selection.

I was aware that some tasks
shouldn't be done in a Function but am not sure of which should and which
should not.

Don't forget the you can have quite a complex formula (with and's
& OR's and < & >) in the conditional formatting box. I use this to
format font colors based  on value and have a formula so complex that
it is not all visable in the text box [the edit capability is really
awkward like this too). I actually exceeded the length for one and
had to use all three conditional boxes to get what I wanted. I have
something between 20 and 30 value limit tests.