@oceanroller - I had a bit of a headache with this as well. There should be a step after 'Manage Applications' that reads 'Press the menu button and select "Filter"' On my Sony Ericsson X10 (2.1) this gives options for All, Running or Downloaded; the default option being Downloaded.
Now, I think my downfall was in choosing an X10. I could just leave it at that, but I ought to qualify that statement! Because the phone has very little memory, I always go back to the home screen by pressing the back button, rather than the home key. The reason for this is that the back button ends the app, whereas the home key leaves it running in the background. As such, when I go into Manage Apps & filter by Running, there's no sign of Calendar Storage. To be complete, I suppose the list of instructions should read as follows:
* Open your calendar
* Press the home Key
* Go to: Menu > Settings > Applications > Manage Applications
* Press the menu/options key
* Select Filter
* Choose Running
* Select Calendar Storage
* Select Clear Data
* Confirm with OK
* Restart Phone and Sync again (or allow to auto sync, if this is enabled)
Hope that clarifies!
Ed.