Here is the formula
create a new rule in conditional formating based on a formula. Use the following formula and apply it to $A:$A
=NOT(ISERROR(MATCH(A1,$B$1:$B$1000,0)))
here is the example sheet to download if you encounter problems
UPDATE
here is @pnuts's suggestion which works perfect as well:
=MATCH(A1,B:B,0)>0