You have to subscribe to the CalendarInfo's BeforeDisplayAppoinmentDialog event:

protected override void OnLoad(EventArgs e)
{
    ...
    calendarInfoControl.BeforeDisplayAppointmentDialog
        += OnCalendarInfoBeforeDisplayAppoinmentDialog;
    ...
}

In the event handler you should cancel the event and show your own appointment dialog:

private void OnCalendarInfoBeforeDisplayAppoinmentDialog(
        object sender, DisplayAppointmentDialogEventArgs e)
{
    e.Cancel = true;
    MyAppointmentDialog appointmentDialog = new MyAppointmentDialog();
    appointmentDialog.Show();
}

Hope this helps,
Emanuel