The MonthCalendar control's BoldedDates functionality doesn't appear to work properly on Windows Vista. The dates added to any of the BoldedDates, MonthlyBoldedDates and AnnuallyBoldedDates collections are rendered just the same as those not added to any of the collections. The same code works just fine on Windows XP and causes those dates to be rendered bold. The only workaround i've managed to find is disabling visual styles in the application, i.e. commenting out the first line in the Program.Main() method of a new Windows Application:

Application.EnableVisualStyles();