It's already in the VIM help file, but I never found it until now. To highlight the current row/line and the current column use this in your .vimrc:

  au WinLeave * set nocursorline nocursorcolumn
au WinEnter * set cursorline cursorcolumn
set cursorline cursorcolumn

I found this quite useful while programming. Eclipse has a similar feature; when I got used to that I started missing it in VIM. Until now that is :)