Do you mean your Gmail calendar? If so, go to your calendar in a web browser. There is a list of calendars on the left side where it says My Calendars. Left click the box with the down arrow to the right of the calendar you want to change the color for and it'll bring up a color palette.
To get the actual color change to push to my phone, I had to go into the Calendar on my phone, hit the hard menu button, Settings, then Manage Calendars. I then had to turn my Gmail calendar to be Not Synced. When I turned Sync back on, the color changed.
There might be a way to do it from the phone, but, I didn't look that hard, this just seemed easier this way. Hopefully that is what you were looking for.