An easy way is to already have a worksheet  (perhaps
hidden) with the event  code you want. Copy that sheet
instead of adding  a new worksheet, and the
Worksheet_Change event code will be copied along with
the sheet. If you need to, copy any sheet witht eh
event logic you need, then select and clear/delete all
the cells on the sheet.

You also might find some help at the Erlandsen Data
Consulting site (lots of great vba  stuff there):

www.erlandsendata.no/english/index.php?t=envbavbe

Another thing to look at. If you want to do the same "cell change" action
on every cell  in the entire workbook, then look at the Workbook_SheetChange
event in the ThisWorkbook module. This fires on any change  to any cell.
(Its name is not terribly clear - it has nothing to do with changing from
one worksheet  to another.)

Absolutely.
Place this code in the ThisWorkbook module:

Private Sub Workbook_NewSheet(ByVal Sh As Object)
Dim NewSheet As Worksheet
Set NewSheet = Sheets(ActiveSheet.Name)
Code = "Private Sub Worksheet_Change(ByVal Target As Range)" & vbCrLf
Code = Code & "MsgBox ""your code here""" & vbCrLf
Code = Code & "End Sub"
With ThisWorkbook.VBProject.VBComponents(NewSheet.Name).CodeModule
NextLine = .CountOfLines + 1
.InsertLines NextLine, Code
End With
End Sub

On addition of a new sheet to the workbook it places these three lines
of code in the new sheet's code module:

Private Sub Worksheet_Change(ByVal Target As Range)
MsgBox "your code here"
End Sub

not sure if you got an answer to this yet...quick off the top of my head i
would suggest a workbook on change  event and then test the worksheet  name
against the new worksheet.. if it's not the new one.. then do nothing