I have similar problems with many ActiveX controls while create installations. Possible, this is problem with all ActiveX controls.

Here i explain method, which i use for creating installations:
Try to copy mscal.ocx file in filder, in which is executable file. Then recreate installation (select checkbox in front of control, set WinSysPath as target, etc.)
Also, make sure you use the latest SP for VFP (5 for VFP 6.0)

This method works not ever, but i also have no idea for the reason. I also work with VB, but i never encounter such problem in VB.