Rick,
Have you tried loading the page using "Compatibility Mode"? If so, does the control work properly then?
Keep in mind that the ColdFusion UI tags are based on 3rd party JavaScript libraries (most likely ExtJS, but some are using YUI) as well as Flash widgets (as in the case of CFCalendar). The underlying JavaScript libraries have not been updated by Adobe in quite some time and are several versions behind. There are likely compatibility issues with more modern browser versions. The tags also don't expose all of the capabilities of those underlying libraries. For these reasons there is a general feeling in the ColdFusion community that these UI tags should not be used any more. Rather, people should develop applications using JavaScript UI libraries directly and avoid relying on ColdFusion's abstraction of these libraries or Flash. There are many JavaScript calendar implementations out there to choose from.
Hope this helps some,
-Carl V.