Try something like this:
Private Sub Workbook_Open()
Sheets("Sheet1").Protect Password:="mypassword", UserInterfaceOnly:=True, DrawingObjects:=True, Contents:=True, Scenarios:=True _
, AllowSorting:=True, AllowFiltering:=True, AllowUsingPivotTables:=False
End Sub
This will protect your sheet with the password "mypassword" when the workbook is opened. Change the password to suit your needs. If you currently have code in a macro to protect and unprotect the sheet, remove that code. You don't need it since the sheet is protected on opening the workbook. Also make sure that you click the "Data" tab in your top menu and then click the "Filter" button to make the little filter arrows visible in your header row. These arrows must be visible before you save your file so that they remain visible on opening.
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