Currently there is no feature to make days with events have a different color and I'm not sure this would be a good idea. Maybe this seems appealing if there are only few days that have events but once you have a lot of events now the days all would look the same.
Currently the calendar has ability for different colors based on weekend vs weekdays, a special color for the current day, and different colors for days in the current month vs some other month.
The colors are determined in the mpdatacalendar.css in the skin folder.
Hope it helps,