I had that problem when I went into Menu > More > Calendars and turned off all of the calendars (PC Sync and Facebook), because I was trying to create my own calendar. I never did figure out if you can create your own calendar, so I just enabled the PC Sync calendar and it worked fine.
I had a problem where my google calendar never appeared. I had to reset the phone and reinstall everything. For some reason, in the intial install, it didn't install the calendar.
I'm gonna take a broad stab at this one, because so little info is given. If u haven't done so, hop on your pc, log into gmail, and click the Calendar link. Now u have a calendar. If u use a 3rd party calendar like MS Outlook, then u should either sync the Outlook calendar to your gCalendar or sync it directly with HTC Sync. When the calendar app is open, click Menu, choose Calendars, and check the option you need. If the calendar u use is not on that list, add it in your New Accts option on the home screen main menu. It sounds like a lot, but once u do it u won't need to do it again.