sheff: I've seen two examples of the use of DayStyle, one, as shown above, and secondly, as:
<asp:Calendar OnDayRender="Calendar1_DayRender"
OnSelectionChanged="Calendar1_SelectionChanged"
OnVisibleMonthChanged="MonthChanged"
DayStyle-Height="100"
DayStyle-Width="75"
DayStyle-HorizontalAlign="Left"
DayStyle-verticalalign="Top"
DayStyle-Font-Name="Arial" DayStyle-Font-Size="12"
NextPrevFormat="FullMonth" SelectionMode="Day"
.....
.....
</asp:Calendar>
...in this example you would think that:
DayStyle-Underline="false" may do the job.