You can use the standard asp.net skins. In this case you'd create a Default.skin
file in your /App_Themes/<stylesheetcodename>/
directory. Inside that directory, add something like this:
<cms:CMSCalendar runat="server" Width="100%" Height="100%" SkinId="EventCalendar" SelectionMode="None" NextPrevStyle-Font-Size="14px" NextPrevFormat="ShortMonth">
<TitleStyle Font-Bold="true" Font-Size="18px" />
<DayHeaderStyle BackColor="#c02e39" ForeColor="White" Font-Bold="true" Height="35px" BorderColor="DimGray" BorderStyle="Solid" BorderWidth="1px" />
<DayStyle BackColor="White" ForeColor="Black" Font-Underline="false" VerticalAlign="Top" HorizontalAlign="Center" Height="7em" Width="2em" BorderColor="DimGray" BorderStyle="Solid" BorderWidth="1px" />
<TodayDayStyle BackColor="#c02e39" ForeColor="White" />
<WeekendDayStyle BackColor="#e8e8e8" BorderColor="Gray" />
<OtherMonthDayStyle BackColor="#CCCCCC" ForeColor="DimGray" />
</cms:CMSCalendar>
The key is to use the proper control, in your case <cms:CMSCalendar>
AND assign a SkinId to it. If you don't apply a SkinId, it will be used across ALL those controls on the website. If you do apply a SkinId, you have to reference that ID in your controls you wish to use this skin.