If you have all of your events stored on iCloud aka MobileMe, it's stored on the cloud. You would have to add iCloud back on your device to restore the events. You can move the events to a Local or new Calendar service by editing the event and click on "Calendar" to choose a new Calendar to go into.
If you're trying to make the events not on iCloud but a different cloud service, you need to have the different cloud service added to your iPhone. Then you can click on "Calendars" and choose a calendar from the different service.
To add them to a local calendar service
- Open a compatible Calendar program (iCal or Microsoft Outlook) http://support.apple.com/kb/TS2481
- Open iTunes and go to the iPhone Tab
- Go into Info and select Calendars, Contacts, etc and set Microsoft Outlook as the primary (you can't have iCloud and other services enabled from your iPhone. These have to be disabled when syncing back to the PC)
But it's better to have your Calendar, Contacts and other stuff synced to a cloud service for say your computer burns out and you lose your hard drive data including photos.