Visual Studio 2010 is not support built-in syntax highlight for HLSL, and I found great soultion – NShader – HLSL\ GLSL \ CG - Shader Syntax Highlighter add-in for Visual Studio. And now editor window with loaded *.fx file looks like following:
NShader support VS 2008 and 2010, and it’s free.
Another way to get syntax highlight is to set VS for opening *.fx in Notepad++ (with one of HLSL language definitions, it hasn’t built-in support).
I like to stay inside Visual Studio, so I prefer NShader :)