Hmm, I think I understand you.
If it is a link to a new page entirely, and the new page is already called calender.php then I would suggest that something else is wrong in the configuration of the server (or the php script entirely).
I am taking something that is in an index.php and wanting to insert it into an existing html page
However, if it is a preview or a link that 'embeds' the php calender in a page (so it is shown in a box on the left hand side for example) then the 'host' pages still need to be called .php or they will ignore the php script.
Does that help at all? I am talking really low level stuff here so please forgive me if I am insulting you!
One way of checking this is write a simple php script to see if that works. Such as
<?php
echo "hello";
?>
If 'hello' appears where you were expecting the calender then something is wrong with the calender script, if it doesn't appear then something is wrong with the extension or the server setup.