First, remove the "()" after Turbine.UI.Window in the first line. You're not deriving MyClass from an instance of Turbine.UI.Window, but from the class itself.
Second, if you've set "SetWantUpdates(true)", then you need to define an Update event handler, which will be called at each "tick".
Third, your MouseDown event handler won't get its arguments correctly:
Since you used the ":" notation, the first argument will be silently consumed and assigned to the "self" local variable. You should remove the explicit "s" argument, so the arguments you want will go into "a".
Edit: In case it's not obvious, you also need to create an instance of MyWindow. Add "m = MyWindow();" at the end of your code.