Y si usas listview 5, bueno, raul338 en su ucListView tiene una funcion ColumnFocused, pero esta pinta la columna con el color del tema de windows
Private Declare Function SendMessage Lib "user32" Alias "SendMessageA" (ByVal hWnd As Long, ByVal wMsg As Long, ByVal wParam As Long, lParam As Any) As Long
Private Const LVM_FIRST As Long = &H1000
Private Const LVM_SETSELECTEDCOLUMN As Long = (LVM_FIRST + 140)
m_hListView = ListView1.hWnd
Public Function ColumnFocused(ByVal Column As Integer)
If m_hListView Then
Call SendMessage(m_hListView, LVM_SETSELECTEDCOLUMN, Column, 0)
End If
End Function