of course, that just "kicks the problem upstairs", now we need a new name for the collection of all classes (that is, there is no class of all classes, which is a problem that actually comes up; for example, if you want to talk about all possible algebraic structures, many of which form proper classes (the class of all sets, the class of all groups, the class of all vector spaces, etc. -most of these arise because there is often a "generic" way to turn a set into an algebraic structure of some sort)).[/tex]
Note that in ZFC set theory, there is no notion of a class. A class is just a shorthand for a formula. So
y~\{x~\vert~\psi(x)\}~\Leftrightarrow~\psi(y)
is the same thing. Classes are no real entities. So there is not really a problem anymore. In formalized theory, there should be no notion of classes.
If you do want to work with classes and with collections of classes (which is a conglomerate, other names are possible though), then you are working with a strong kind of set theory. That is: you are working in a set theory with an inaccessible cardinal. The existence of this cannot be proven consistent with ZFC. This does not prevent mathematicians to work with them anyway.