Class modules are used to create your own objects. They consist of methods and properties, not subroutines.
For example, the worksheet object and userforms are special kinds of class modules.
It's quite difficult to give an overview here because they are slightly tricky to get your head around. I advise having a look online for a tutorial on how to use them, or find a decent book to take you through an example.
Do you have or have inherited a class module that's giving you some hassles?