I looked over the conversation on Twitter between @sarabcole and ourselves - hopefully I am understanding this correctly: what you want to do is embed the calendar which you would normally see at example.com/events within another page, is that correct?
If so, one approach could be to create a new WordPress page (if you haven't done so already) that will house your calendar. Then, create a new template within your theme (if your custom page is named "Gigs" then your template could be page-gigs.php). Copy and paste this code http://pastebin.com/bxNcLduD in there and you should be all set.
It's quite possible it will require some tweaking to bring it into line with the rest of your theme. That said, it works perfectly with default themes such as Twenty Eleven.
Last but not least please also be aware that the prev/next month and indeed all other calendar navigation will take people to the normal events page.
I hope that helps!