Unlike in the earlier versions of Windows, Windows 95 and Windows NT 4.x+ does not come with a "separate" calendar program.
However, you can still get to a calendar -- simply double click on the time in the tray icon area (located on the right or bottom area of the task bar). If you switch to a different month, date or year, make sure that you click on "Cancel" to close the calendar, or you'll change the system date.