use Vlookup to return a value and use conditional formatting to format the cell red as in use the equal to value and enter FOUND
=IF(NOT(ISNA(Vlookup(valuetofind, Sheet1!A1:D2000,4,false)))),"FOUND","")
=IF(OR(NOT(ISNA(Vlookup(valuetofind, Sheet1!A1:D2000,4,false))),NOT(ISNA(Vlookup(valuetofind, Sheet2!A1:D2000,4,false)))),"FOUND","")