the calendar is not included in the default theme.
adding it means adding this to your sidebar.php:
<?php get_calendar(); ?>
in other themes it might be commented out, maybe like this:
<!-- <?php get_calendar(); ?> -->
it (the calendar code) might also have a somrehing that looks like this:
*/ around it or
// in front of it.
Those are all quick examples of how a theme author might 'comment out' the calendar, causing it not to display. Again, If you want to see it, make sure it looks like this:
<?php get_calendar(); ?> in the theme of your choice.