On the first cell (the cell where the data is input) you could use Data Validation.

To do this (in Excel 2007):
- Select the cell that the value is input into
- On the Data toolbar, select Data Validation
- On the Settings tab, enter Allow: Whole Number, Data: less than, Maximum: 5000
- On the Error Alert tab, enter the error message you want to appear when a value greater than 5000 is entered.

Now that it is impossible to enter a value greater than 5000, there is no need to display anything on the second sheet as the value will never go over 5000.

If you would prefer Conditional Formatting however, I am happy to give an example of this instead.