I don't quite understand how you can expect the screen to keep displaying a calendar when the calendar program has closed. I cannot think that is posible, unless it is saved to the wallpaper's picture file itself.
right -- i believe such programs exist -- they basically create an image of background wallpaper with calendar on it, save the image, and set the wallpaper to it.
then they have to set themselves up to be run once per day or month so that the wallpaper image is updated automatically.
the other option is to use active desktop to essentially display an html/web page calendar.