That is what this guy is suggesting but I very much like the way Jeff set me up. This guy gives a very good explanation of using the acad.rx, acad.dvb and acad (ac) vba.arx files in conjunction to achieve the same goal we are discussing here.
Mark, what that guy (Mike Tuersley) is doing is the same thing I do...except he placed the AcadStartup into ThisDrawing instead of it's own Module. I'm pretty sure that I got mine setup based on one of Mike's posts in the Adesk forums.

Testing somemore....I tried changing the acad.dvb I posted for Mark to get the Application from Windows by modifying JUST this line:
Set AppEvents.ACADApp = Application
to this:
Set AppEvents.ACADApp = GetObject(, "AutoCAD.Application")
If that line is executed AFTER a drawing is open, all is well. However, since it is in the AcadStartup Sub, Acad attempts to load it before the Drawing is open and, evidently, before the AcadApplication is registered as being an Object with windows because it errors out with "Unable to Get the Object".
So it appears that App level events don't get autostarted in the first drawing...which I think is what Keith was saying.
Oh, and this worked for me for the Line command....
Private Sub AcadDocument_BeginCommand(ByVal CommandName As String)
If CommandName = "LINE"
MsgBox "No lines for you!", vbCritical
SendKeys "{ESC}"
End If
End Sub