This looks for value "F" but most likely gives some ideas what you could change (get all rows beforehand for each column, color cells argument ordering, ...)
Names Default To Here(1);
dt = Open("$SAMPLE_DATA/Big Class.jmp");
colnames = dt << get column names(character, string);
For Each({colname}, colnames,
r = Loc(dt[0, colname], "F");
If(N Items(r) > 0,
Column(dt, colname) << Color Cells("Red", r);
);
);
Write();
Edit: Removed unnecessary Show(r); from the loop
-Jarmo