You cannot use references to other worksheets or workbooks for Conditional Formatting criteria WARNING

I am just looking at the solution that Hans provided in this item:-

http://social.technet.microsoft.com/Forums/office/en-US/88cc578c-8738-4acc-a454-1bfaedea0fe9/how-to-check-a-column-in-one-worksheet-against-another-worksheet

I have followed his instructions:-

Let's say that the phone numbers start in A2.

Select the cells with phone numbers on Sheet1; A2 should be the active cell within the selection.

On the Home tab of the ribbon, click Conditional Formatting > New Rule...

Select 'Use a formula to determine which cells to format'.

Enter the formula

=ISERROR(MATCH(A2,Sheet2!$A$2:$A$100,0))

Adjust the range on Sheet2 as needed.

Click Format...

Activate the Fill tab and specify a highlight color.

Click OK twice.

However, when I click on the second OK button (to which Hans refers in the above line) I get the following (modal) warning:-

You cannot use references to other worksheets or workbooks for Conditional Formatting criteria.

Why do I get the above warning and what's the solution to its appearance?

Thanks in advance for any replies.