Gentilissimi,
ho risolto con questo codice

Dim myconnection As SqlConnection
Dim myda As SqlDataAdapter
Dim ds As New DataSet
Dim dsSelDate As DataSet

Private Sub Page_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
myconnection = New SqlConnection("Server=xxxx;uid=sa;password=xxxx;database=xxx;")
myda = New SqlDataAdapter("Select Data from Date", myconnection)
myda.Fill(ds, "AllTables")
End Sub

Protected Sub CalendarDRender(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.DayRenderEventArgs)
'If the month is CurrentMonth
If Not e.Day.IsOtherMonth Then
Dim dr As DataRow
For Each dr In ds.Tables(0).Rows
'If EventDate is not Null
If Not dr("Data_Scadenza") Is DBNull.Value Then
Dim dtEvent As DateTime = dr("Data_Scadenza").ToString
'If EventDate =CalendarDate
If dtEvent.Equals(e.Day.Date) Then
e.Cell.BackColor = System.Drawing.Color.Azure
End If
End If
Next
'If the month is not CurrentMonth then hide the Dates
Else
e.Cell.Text = ""
End If
End Sub