Template problem

[might]

class CAnyBaseClass
{
public:
CAnyBaseClass();
~CAnyBaseClass();
};

// Definitions ...

template<class BASE>
class CMyClass : public BASE
{
public:
CMyClass();
~CMyClass();
};

// Definitions etc...


...

CMyClass<CAnyBaseClass>* pMyClass = new CMyClass<CAnyBaseClass>;

causes LNK2019 linker error.

I don`t know what to do!
Please, help !