Some Themes “comment” the calendar out, since it isn’t “that” useful.
Look in your sidebar.php template file for “calendar” and you may see marks like this:
<!--
And then the code for the calendar, and it will end with:
-->
These are comment codes. Delete them carefully, on both ends, and the calendar will appear.
If it isn’t there, then you can copy the calendar from the two themes that came with WordPress when you installed it and paste them into your sidebar. Be sure and copy over any styles from those Themes to the stylesheet in your Theme.
For more information on comment codes:
http://codex.wordpress.org/Commenting_Code
For more information on customizing your sidebar:
http://codex.wordpress.org/Customizing_Your_Sidebar
