1. Create a new page on your website for the events calendar. Then from Help > Basics & Setup, obtain the shortcode (WordPress) or HTML snippet (SquareSpace, Weebly, etc) for the "Events calendar". You can also select "Event calendar (inverted colors)" if you prefer having colored text on white background rather than the default colored blocks with white text, or "Event list" if you prefer a list of upcoming events instead of the calendar format. Then place the shortcode/snippet on the page you had created.
2. Go to Organization Settings > Integration > Website Integration and enter the URL to the events page under "Event calendar URL".