Why DOESN'T this Sort Code work?

This Code works

With ActiveWorkbook.Worksheets("Attendance").Sort
        .SetRange Range("A3:J40")
        .Header = xlGuess
        .MatchCase = False
        .Orientation = xlTopToBottom
        .SortMethod = xlPinYin
        .Apply
End With

and Code this doesn't work

Dim SHEET as Worksheet
Set SHEET = Sheets("NAME")
SHEET.Activate
Rng = "3:40"

With SHEET.Sort
        .SetRange Range(Rng)
        .Header = xlGuess
        .MatchCase = False
        .Orientation = xlTopToBottom
        .SortMethod = xlPinYin
        .Apply                                <--- fails on this line    
End With

So what am I missing here? Thanks for any help you can give me.
Mac