Change as follows:
Code:
Sub ListChange()
Dim r As Range
Dim MyList() As String
Dim i As Long
MyList = Split("challenging,difficult,down by,", ",")
For i = 0 To UBound(MyList())
Set r = ActiveDocument.Range
With r.Find
Do While .Execute(FindText:=MyList(i))
Select Case i
Case Is = 0
r.HighlightColorIndex = wdYellow
Case Is = 1
r.HighlightColorIndex = wdTurquoise
Case Else
r.HighlightColorIndex = wdGreen
End Select
r.Collapse 0
Loop
End With
Next
End Sub