The module does not currently support this directly. There has been much discussion on this and other similar topics in this forum. I just tried to find the orginal forum thread Alan Vance (the orginal module author) raised on the subject, but it seems to have been lost into the ether....
The crux of this is that DNN does not support DST (because .Net v2 does not). Therefore it is impossible to correctly identify the exact difference to UTC of a user based on their profile. The worst thing to happen would be for a user to be uncertain as to what time an event occurs due to calculation inaccuracies. Therefore a decision was made some time ago by Alan to show the event time as it is in a known timezone, hence the option to display the timezone against an event.
I can explain more on this if needed, but take it please that the current module team and a number of others have put much thought into this, and haven't come up with a useable solution. (We have come up with un-usable solutions by the way).
You can provide users some semblance of the correct times in their timezone, by making your master data calendar a sub-calendar to a module that is set up for their timezone. The module does do simple correction for the difference from UTC when displaying sub-calendars. You could in theory create one display calendar for each timezone you have users in, which would correct for the difference. You could then update the timezone within that module instance to correctly allow for DST whenever it goes out of sync. Not my idea of fun, but it could be done.
But you should be aware that this calculation does not allow for DST. Bear in mind that DNN allows for 25 (I think) timezones -12 to +12 (it may be +13), whilst to correctly calculate DST there are currently approximately 50 different timezones allowed for in Windows. For instance not every state in the US applies DST to the same standard.
You can be absolutely sure that when DNN supports DST (.Net 3.5 does I believe), we will add this support to the module. But not before then.
Hope this helps you understand the problem, and a clunky workaround.
Roger