This is what it gave me. I guess you can't record for something like this.
Range("J1").Select
ActiveCell.FormulaR1C1 = "State"
Range("J1").Select
Selection.AutoFilter
ActiveSheet.Range("$A$1:$W$4059").AutoFilter Field := 10, Criteria1 := Array( _
"0IL0100CG2WV","0IL0100CG34S","0IL0100CG52G","0IL0100CG52P","0IL0100CG532", _
"0IL0100CG535","0IL0100CG538","0IL0100CG53Q","0IL0100CG542","0IL0100CG546", _
"0IL0100CG547","0IL0100CG54C","0IL0100CG54D","0IL0100CG54J","0IL0100CG554", _
"0IL0100CG555","0IL0100CG556","0IL0100CG557","0IL0100CG559","0IL0100CG55W", _
"0IL0100CG563","0IL0100CG567","0IL0100CG568","0IL0100CG578","0IL0100CG57X", _
"0IL0100CG587","0IL0100CG7AA","0IL0100CG7AD","0IL0100CG7AU","0IL0100CG7N1", _
"0IL0100CG7P5","0IL0100CG7P8","0IL0100CG7Q9","0IL0100CG7R1","0IL0100CG7SX", _
"0IL0100CGAA9W","0IL0100CGABJ1","0IL0100CGABJ3","0IL0100CGABJ5","0IL0100CGABJY" _
,"0IL0100CGABJZ","0IL0100CGACH5","0IL0100CGACH7","0IL0100CGACHJ", _
"0IL0100CGADEC","0IL0100CGADH3","0IL0100CGADIU","0IL0100CGADJ8","0IL0100CGADK1" _
,"0IL0100CGADK3","0IL0100CGADK4","0IL0100CGADK5","0IL0100CGADKS", _
"0IL0100CGADLK","0IL0100CGADLM","0IL0100CGADLQ","0IL0100CGADMA","0IL0100CGAG9L" _
,"0IL0100CGB3Q","0IL0100CGC75","0IL0100CGC7X","0IL0100CGDAP","0IL0100CGDOM", _
"0IL0100CGDOV","0IL0100CGDOZ","0IL0100CGDZS","0IL0100CGDZV","0IL0100CGEDZ", _
"0IL0100CGHDW","0IL0100CGIC1","0IL0100CGIDE","0IL0100CGIDF","0IL0100CGIDI", _
"0IL0100CGITY","0IL0100CGIU3","0IL0100CGIV1","0IL0100CGIVA","0IL0100CGIVJ", _
"0IL0100CGMHJ","0IL0100CGN44","0IL0100CGOXI","0IL0100CGOXZ","0IL0100CGOZF", _
"0IL0100CGP0N","0IL0100CGP0P","0IL0100CGPYO","0IL0100CGPZP","0IL0100CGPZY", _
"0IL0100CGQC6","0IL0100CGQCT","0IL0100CGQE8","0IL0100CGQE9","0IL0100CGQEU", _
"0IL0100CGQEZ","0IL0100CGQF5","0IL0100CGQF6","0IL0100CGQFL","0IL0100CGQFW", _
"0IL0100CGQFZ","0IL0100CGQGM","0IL0100CGQH7","0IL0100CGUST","0IL0100CGVL17", _
"0IL0100CGVL18","0IL0100CGX1B","0IL0100CGX6Z","0IL0100CGX7G","0IL0100CGX7H", _
"0IL0100CGX7J","0IL0100CGY3F","1IL0100CG532","1IL0100CG535","1IL0100CG54X", _
End Sub