Android - OnDateChangedListener - how do you set this?

There is an event listener in Android called DatePicker.OnDateChangedListener. I am trying to set a DatePicker view's on date changed listener as follows:

DatePicker dp = new DatePicker(getContext());
dp.setOnDateChangedListener(this); 
//where this is my activity extends DatePicker.OnDateChangedListener

But guess what? Date picker does not have a method called setOnDateChangedListener.

My question is:

1. How then do you set a date changed listener in Android?
2. If it is not possible to set a date changed listener, what is the purpose for this event?

Any documentation/tutorials will be very helpful.