How to auto-refresh an Excel auto-filter when data is changed?

Exchanging the code with this seems to do the trick as well (at least in Excel 2010):

Private Sub Worksheet_Change(ByVal Target As Range)

    ActiveSheet.AutoFilter.ApplyFilter

End Sub

I found that when I worked with tables, this didn't work. The filter was not on the sheet but on the table. this code did the trick

Private Sub Worksheet_Change(ByVal Target As Range)
    With ActiveWorkbook.Worksheets("Sheet1").ListObjects("Table1")
         .AutoFilter.ApplyFilter
    End With
End Sub

I found the information here: http://www.jkp-ads.com/articles/Excel2007TablesVBA.asp

Just to consolidate the answer(s):

Sorin says:

Right click on your sheet name, choose "View Code" and paste the code below. After pasting, click the Excel icon below "File" at the top left, or type Alt-F11, to return to the spreadsheet view.

This will enable auto-refresh. Do not forget to save the file in a format with macro support lie .xlsm.

And Chris used this code (which I just did in 2010):

Private Sub Worksheet_Change(ByVal Target As Range)

    ActiveSheet.AutoFilter.ApplyFilter

End Sub

If you don't expand the post, you only see the long answer! ;)