Shapes don't have events, so you can't have a class which handles them.
Shapes have an OnAction property which is the name of a macro which is run when a shape is clicked. The first macro below assigns the Shape_Click macro to all the shapes on the active sheet.
VBA Code:
Public Sub Assign_Macro_For_All_Shapes()
Dim shp As Shape
For Each shp In ActiveSheet.Shapes
shp.OnAction = "Shape_Click"
Next
End Sub
Public Sub Shape_Click()
With ActiveSheet.Shapes(Application.Caller)
MsgBox Application.Caller & " " & .TopLeftCell.Address & ":" & .BottomRightCell.Address
End With
End Sub