The calendar widget creates a calendar in your sidebar with clickable links to your blogs posts for particular dates. Dates that appear in bold type indicate dates you’ve posted.
It doesn’t let you setup a calendar of events. It’s only used is to display links to your posts by date.
Here’s what it looks like when it’s added to a blog sidebar:
Settings
Once you add the widget to your sidebar in Appearance > Widgets, you’ll see that the widget settings look like this:
The only option you have is to add your own custom title.