Your a little off in how you have set this up. The gist of what you want is
to instantiate an object of your class. You are not using a class module. you
put the code in this workbook whcih will not work. Add a class module to your
project. That object will contain an instance of XL which listens for XL
events. So you are close but you need to make a couple of tweaks...

Add a class Module and name it something like clsXLEvents
Put your code into that  class.

When you instantiate an object of your class you want to create the XL
instance so use the Class Initialization event something like this...

Private Sub Class_Initialize()
   Set App = Application
End Sub

Instead of
Public Sub SetApp()
   Set App = Application
End Sub

Now you just need to create an instance of your class something like this...
In a standard module publicly declare an object of type clsXLEvents

public AppEvents as clsXLEvents
Somewhere in code (ususally in the open event of this workbook) add
set AppEvents = new clsXLEvents

Check out this link for more info on application level events...
http://www.cpearson.com/excel/AppEvent.aspx