What version are you using? 2010 or 2011. Here is a view of 2011.
You will notice at the bottom there is a check mark by the calender name. That needs to be checked for the events to show up in the calender "view". You can have more then one calender but the events for each one that is checked will show up in the calender view with different colors. My view option at the top is set to show a Month and it appears to the right.
In Mail under View I use Calender Pane which puts the calender in a pane to the right of my e-mails and also will show the next five events.