Try the help files (they realy are quite good)!
But to save you trying to find it, this was a straight copy and paste (from Word 2000)
Create a calendar
On the File menu, click New.
Click the Other Documents tab.
Double-click Calendar Wizard.
If you do not see this wizard in the New dialog box, you might need to install it. How to install individual components of Microsoft Word.
Follow the steps in the wizard.