Change your code to...
protected void Calendar1_DayRender(object sender, DayRenderEventArgs e)
{
string aholiday;
DateTime theDate = e.Day.Date;
aholiday = holidays[theDate.Month, theDate.Day];
if(aholiday !=Null)
{
Label alabel = new Label();
alabel.Text = "<br>" + aholiday;
e.Cell.Controls.Add(alabel);
}
}