To add a new enterprise calendar you should be open your PWA site and navigate to the Server Settings -- Enterprise Calendars and click 'New Calendar'
Also, you can import a base calendar from local project:
1. Launch Project Professional 2010 and log into Project Server with administrator permissions. 2. Open the local (non-enterprise) project. 3. Click on the Project tab and then the Change Working Time button in the ribbon. 4. In the Change Working Time dialog, click the For calendar pick list and select the Standard Project calendar. 5. Click the Add Calendar to Enterprise button. The system displays the Add to Enterprise dialog. 6. In the Add to Enterprise dialog, enter a new name that conforms to your organizational standard for naming Base Calendars and then click the OK button. 7. Click the OK button to close the Change Working Time dialog.
Buttons 'Create New Calendar...' and 'Add Calendar to Enterprise...' in 'Change Working Time' option available only for local projects.