Non l'hai specificato, ma immagino tu usi l'automazione.
Io faccio così:

codice:
        With excelWorksheet
            ' ------------------------------------------------------------
            ' DIVIDI FINESTRA
            .Range("A1").Select
            .Range(excelApp.ActiveWindow.Selection, excelApp.ActiveWindow.Selection.End(xlToRight)).Select
            excelWorksheet.Activate
            With excelApp.ActiveWindow
                .SplitColumn = 0
                .SplitRow = 1
                .FreezePanes = True
                .SmallScroll Down:=-3
            End With
            ' ------------------------------------------------------------
            ' FILTRO DATI
            .Range("A1").Select
            .Range(excelApp.ActiveWindow.Selection, excelApp.ActiveWindow.Selection.End(xlToRight)).Select
            excelApp.ActiveWindow.Selection.AutoFilter
            .Range("A1").Select
        End With