Place this in the LookupLists code section (which you're presumably doing already):
Private Sub Worksheet_SelectionChange(ByVal target As Range)
Dim rng As Range
Set rng = Worksheets("LookupLists").Range("Efficient")
If Intersect(target, rng) Is Nothing Then Exit Sub
Application.EnableEvents = False
target.BorderAround ColorIndex:=3
Application.EnableEvents = True
End Sub
This will change the border of a cell that is 'clicked' on (ie selected). Note that this will also draw a border around a group of selected cells in that range (ie click, hold and drag mouse) and will also color the cell if you move through the range using arrow keys - which might not be entirely what you're after.
EDIT
To remove the border if you click elsewhere you can do try this instead:
Private Sub Worksheet_SelectionChange(ByVal target As Range)
Dim rng As Range
Set rng = Worksheets("LookupLists").Range("Efficient")
Application.EnableEvents = False
If Intersect(target, rng) Is Nothing Then
rng.Borders.Color = xlNone
Else
target.BorderAround ColorIndex:=3
End If
Application.EnableEvents = True
End Sub
But this will remove the borders for each selection change. Also it's effect won't be really noticeable unless you move up the column.