Sounds like you want a Set datastructure that contains unique values and you can use an Exist method on it.
For example your desired usage is this.
Set MySet = LoadRedValueSet(???) ' explain later
Set MyPlage = Range("A1:R1000")
For Each Cell In MyPlage
    If MySet.Exists(Cell.Value) Then
        Rows(Cell.Row).Interior.ColorIndex = 3
    End If
Next
Well too bad Set is a reserved keyword and VBA does not provide a Set object.  However, it does provide a Dictionary object which can be abused like a Set would be.  You will need to reference the Scripting Runtime Library to use it first through.  The usage would be exactly as stated as above.  But first we need to define LoadRedValueSet()
Lets assume that you are able to load whatever file you save these values as in as an Excel worksheet.  I will not be explaining how to open various file types in Excel as there are many answers detailing that in more detail than I can.  But once you have your range of values to add to the set we can add them to the dictionary.
Private Function LoadRedValueSet(valueRange As Range) As Dictionary
    Dim result As New Dictionary
    Dim cell As Range
    For Each cell In valueRange.Cells
       result(cell.value) = Nothing
    Next cell
    Set LoadRedValueSet = result
End Function
Dictionary are mapping objects that have key->value pairs. The key's are effectively a set, which is what we want.  We don't care about the values and you can pass whatever you want to it.  I used Nothing.  If you use the .Add method the dictionary will throw an error if your list contains duplicate entries.
Assuming you have implemented some function that loads your file as a worksheet and returns that worksheet.
Dim valueSheet As Worksheet
Set valueSheet = LoadSomeFileTypeAsWorksheet("some file path")
Dim valueRange As Range
Set valueRange = valueSheet.??? 'column A or whatever
Dim MyDictAsSet As Dictionary
Set MyDictAsSet = LoadRedValueSet(valueRange)
Set MyPlage = Range("A1:R1000")
For Each Cell In MyPlage
    If MyDictAsSet.Exists(Cell.Value) Then
        Rows(Cell.Row).Interior.ColorIndex = 3
    End If
Next