I had the same problem. You will receive that message if you have not set up sharing on your google calendar.

1. Go to your google calendar.

2. Click the dropdown box to the RIGHT of your calendar ( in the left column ) that you want to embed on your site, not the box next to My Calendars, but the named calendar listed below My Calendars.

3. Choose SHARE THIS CALENDAR from the dropdown list.

4. Check the box MAKE THIS CALENDAR PUBLIC.

5. Click the SAVE button.

6. Now check your site, you should see the calendar without making any changes to your web site, the sharing change at google should fix the problem.

That's it, now the calendar should show up on your site.