How to use a class module

Hello,
I try to write a macro which will highlight the active row and column of the active cell.
I wrote a macro in an event in "This workbook" of Personal.xlsb file, but it work only on this file.
I would like the macro to work on any open file.
I look it up in Google, and understood that I have to use a class module.
I never use those so I don't know how to do it.
Can anyone help?
This is the code that I have used:

Private Sub Workbook_SelectionChange(ByVal Sh As Object, ByVal Target As Range)
Application.EnableEvents = False
Union(Target.EntireRow, Target.EntireColumn).Select
Target.Activate
Application.EnableEvents = True
End Sub

Thanks in advance
Yael

just store your macro on Personal.xlsb

Hello,

In order to use it in all your excel workbooks you just need to save the macro on personal.xlsb

Then when you open a new workbook go to view tab, select unhide and all the macro stored on personal.xlsb will be available on this workbook.

This is easier than creating a class module.

If you do not know personal.xlsb for XP is located on:

C:\Documents and Settings\Application Data\Microsoft\Excel\XLSTART\PERSONAL.XLSB

I hope it helps,
Cátia Santos