Enter this code into a blank module within your project (Alt+F11, Insert > Module) :
Function CellColour(UsrRng As Range) As Integer
CellColour = UsrRng(1, 1).Interior.ColorIndex
Lets say the range you want to filter is A1:E100, and the coloured cells are in column A. In cell F1 put the formula : =CellColour(A1) and copy it down.
This will return the ColorIndex value of each cell in column A. You can now record your macro, but filter by column F (not A), but the end result will have the same efect as if you'd filtered by colour in column A.
Next time you post remember to be more explicit about what you want - you'll get an answer quicker, and better tailored to what you want.