If ActiveCell

It's case sensitive. Type green it won't work, but type Green it works. In these cases it worked for me.

Try this:

Sub SetActive()

If LCase(ActiveCell.Value) = "red" Then
ActiveCell.Interior.Color = 255 ' Color cell interior red
ElseIf LCase(ActiveCell.Value) = "yellow" Then
ActiveCell.Interior.Color = 49407 ' Color cell interior orange
ElseIf LCase(ActiveCell.Value) = "green" Then
ActiveCell.Interior.Color = 65280 ' Color cell interior green
End If

End Sub