You can select the whole range at once and define the conditional format using a formula. For example if the data is in columns A and B, select the cells in column B, starting with B2 (if B1 has labels). Then create a conditional format with the formula
If you click the cells, they will turn up as absolute references, with $ signs, which you need to remove. It might be easier to just type the cell references.
Then set a format.
In Excel 2007 and later you can also use this technique: apply the conditional format to just one cell. Instead of copying and pasting with format only, you can use the command to manage conditional formatting from the ribbon drop-down. In the management panel you can set the range that the format should be applied to. The screenshot shows that dialog before OK is clicked, so in the sheet, the format currently only applies to the selected cell.