Are you looking for FixtureSetUp/FixtureTearDown attribute [used to be called TestFixtureSetUp], which is called at class level, meaning, it will be set up once for all the tests in one test class.
Setup/TearDown attribute is called on Method level.
MbUnit also support test assembly setup and teardown. Here is a link for this.
[assembly: AssemblyCleanUp(typeof(AssemblyCleaner))]
...
public class AssemblyCleaner
{
[SetUp]
public static void SetUp()
{
Console.WriteLine("Setting up {0}", typeof(AssemblyCleanUp).Assembly.FullName);
}
[TearDown]
public static void TearDown()
{
Console.WriteLine("Cleaning up {0}", typeof(AssemblyCleanUp).Assembly.FullName);
}
}