Snowbot - What version of vBulletin are you running? The names of the days are not showing on your regular calendar either, so my guess would be that you're missing some calendar phrases...
Forkman - Yes, that was the correct place to modify the functions_calendar.php file. Apparently they added some new global variables to that function... Thanks for pointing that out - I just updated the zip.
Blue Storm - Try changing your cookie domain under the main vBulletin options section to ".yoursite.com" (without the quotes). The default setting seems to work for most people, but that seems to be necessary for some (which is why it's covered in the FAQ section in the readme

).