>Can anyone tell me what difference there is (other than 1 line of code) between using the New keyword in a Dim statement, or in a Set statement?

I will try to serve you my best.

This is by far more a performance issue than only a matter of a line of code issue.

The compiler cannot create the instance of your object while it is dimming your object.

This syntax is the most efficient:
Dim MyObject2 As MyClass()
Set MyObject2 = New MyClass

The reason is, that if you use the following syntax:
Dim MyObject1 As New MyClass()
MyObject1.MyValue = "Some Value"
MyObject1.MyValue2 = "Some Other Value"

the compiler will change to something your code to something like:
Dim MyObject1 As New MyClass()

If MyObject1 Is Nothing Then
Set MyObject1 = New MyObject1
End If
MyObject1.MyValue = "Some Value"

If MyObject1 Is Nothing Then
Set MyObject1 = New MyObject1
End If
MyObject1.MyValue2 = "Some Other Value"

Every time the compiler will see MyObject1, it has to check if it has to instantiates it.

I hope you understand what I wanted to say. If not, come back here!