There are no Microsoft-created gadgets that can do this (although Microsoft does make a Calendar gadget and Sticky Notes, as two separate things). You can browse a collection of thousands of gadgets created by other companies and enthusiasts on the Windows Gadget Gallery site.
Aside from Gadgets, Microsoft does product a few calendar applications. Microsoft Outlook is perhaps the most well-known and is used in countless companies around the world. However, a free alternative is Windows Live Mail -- the consumer counterpart to Outlook. In addition to sending and receiving your email (don't let the name fool you, it works just fine with any email service, you don't have to use Windows Live), it also includes a Calendar ability -- which*will also optionally, if you want,*sync your calendar to calendar.live.com for anywhere access, or sync to your smart phone.
You can download Windows Live Mail (which includes Calendar) from get.live.com.