Probably the answer will be too late for you after two years, but after fighting a lot with the code I beleive that I found the solution.

You have to include a reference to the styles resources scripts into your .rc2. Edit it manually and add, for example, this line:

#include "Styles\Office2007\Office2007.rc"

I would be great if this simple explanation will be include in the help of the ShowCaptionBar method. Calendar demo is probably the best demo code ever seen but it's difficult to find the solution to this problem when you try to construct a calendar app from scratch. In fact the problem is not in any file you can edit using visual studio...