Hi there Kristen. By default the calendar lives at /events; on your site, I found it at http://kristenyoga.com/events. You do have the ability to control where the calendar “lives” under Settings -> The Events Calendar, though.
If you wanted to add the calendar to your header menu from there, just go to Appearance -> Menus and you should see a number of events-related options. Add the one you deem appropriate to the correct location, save, and you should be all set.
I hope that helps. If you need anything else or have any other questions, do let me know.