I'd start by figuring out what calendar control you want to use. There's a million of them, whether you want standard HTML, jQuery, YUI, MooTools, or whatever floats your boat.
ASP.NET has a very basic one built in. You can read about it here. It doesn't require any script or anything and you can manipulate the styles with server side code. The Microsoft AJAX Control Toolkit (Microsoft's more modern web control framework) also has a Calendar control.
Usually when I'm looking for a control that has a certain feature, in your case the ability to highlight certain dates, I find a tutorial or sample that indicates exactly how to do that first. Then I'm not tied down to a certain control. I searched around a bit and found this StackOverflow question that is very similar, using a jQuery based control. Once you read your data from your database, you can write the start and end dates out as JavaScript variables and follow the example from there.