Let's say you want to color the messages you've read, like he says he's doing:

1 - Message -> Tag -> New Tag... call it 'Read' and choose a color

2 - Tools -> Message Filters.. click 'New' and give the filter a name (eg. color read messages)

3 - select 'Status' - 'is' - 'Read' from the first row of drop down menus ('For incoming messages...')

4 - select 'Tag Message' - 'Read' (under: 'Perform these actions:')