Extend column range of Data Filter, without turning filtering off

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Seems so basic, but really annoying. Excel 2003:

Say I have columns A-D filtered (either by using Data, Filter, AutoFilter or by using Data, Filter, Advanced Filter and keying in the List Range). If I then decide later that I also want to start filtering column E, it seems the only way to do it is to turn filtering off, then on again using the new range.

Can be very annoying when filtering a large number of columns with many filters in use, all filtering is lost and has to be set up again before continuing.

Is there a simple way to extend filtering to another column without turning filtering off and on again?

Thanks