We posted screenshots at the code site:
http://code.google.com/p/wpng-calendar/
There is an image that will appear in the lower right corner of the Facebox div that reads “Close”. Chances are that if you do not see it, then your WordPress install is not in the root directory of your website.
You may need to modify the path to the image. The path is located in the facebox.js file in the js/facebox directory.
Let us know if this help.
Can’t speak to the Events Calendar. But we’ve updated the wpng-calendar to correct IE issues. Give it a try and let us know what you think!