What language are you programming in? In C++ the class keyword should be in all lower case. Are you using some form of macro for the word Class ?
using VS2005 and VA 1738 and the following code in a C++ header file:
class AFX_EXT_CLASS CTestMacroBeforeName
{
void AltGTarget();
};
CTestMacroBeforeName::AltGTarget() { }
the class name is coloured correctly for me, and Alt-G from the function implementation takes me to the function declaration.