Some questions from a n00b

Given this code:

#include <iostream>
#include <set>

using namespace std;

// ---------------- Observer interface -----------------
class Observer {
public:
    virtual void Notify() = 0;
};

// ---------------- Observable object -------------------
class Observable {
    static Observable* instance;
    set<Observer*> observers;
    Observable() { };
public:
    static Observable* GetInstance();
    void AddObserver(Observer& o);
    void RemoveObserver(Observer& o);
    void NotifyObservers();
    void Trigger();
};

Observable* Observable::instance = NULL;

Observable* Observable::GetInstance()
{
    if (instance == NULL) {
        instance = new Observable();
    }

    return instance;
}

void Observable::AddObserver(Observer& o)
{
    observers.insert(&o);
}

void Observable::RemoveObserver(Observer& o)
{
    observers.erase(&o);
}

void Observable::NotifyObservers()
{
    set<Observer*>::iterator itr;
    for (itr = observers.begin();
        itr != observers.end(); itr++)
        (*itr)->Notify();
}

// TEST METHOD TO TRIGGER
// IN THE REAL SCENARIO THIS IS NOT REQUIRED
void Observable::Trigger()
{
    NotifyObservers();
}

// ------ Concrete class interested in notifications ---
class MyClass : public Observer {

    Observable* observable;

public:
    MyClass() {
        observable = Observable::GetInstance();
        observable->AddObserver(*this);
    }

    ~MyClass() {
        observable->RemoveObserver(*this);
    }

    void Notify() {
        cout << "Received a change event" << endl;
    }
};

void main()
{
    Observable* observable = Observable::GetInstance();
    MyClass* obj = new MyClass();
    observable->Trigger();
}

What if I don't to use a SET? What is the advantage of using pointers
with "new", as apposed to NOT using pointers?