If the designer doesn't automatically add this to your code behind file. Do this to discover the event signature.
In the Page_Load event, type in CalendarExtender1.OnClientDateSelectionChanged += and you should get Visual Studio to prompt to add the event code for you. If it doesn't, mouse over OnClientDateSelectionChanged and see what Visual Studio shows as the event signature.
Of course, when you are done, remove that line code from the Page_Load event.