The data validation input message appearance is controlled by your
Tooltip settings. To change the font type or colour, or background colour:
(Instructions for Windows XP)
Note: this will also affect ToolTips and Comments
Right-click on the desktop, and choose Properties
On the Appearance tab, click Advanced.
From the Item dropdown, choose Tooltip
Choose a font, font colour, and/or background colour
Click OK, click OK
As an alternative, if you can use programming, you could use a textbox
to display the input message. There's an example here:
http://www.contextures.com/excelfiles.html
Under Data Validation, look for 'Input Message in Textbox'