Custom Files is located under My Calendar > Help > Custom Files.
The Custom Files screen provides guidance on where to place custom style sheets, icons, and PHP templates. There are multiple locations that will be checked, and they’re listed here in the order they’ll be checked.
If you want to use custom styles, use this information to determine where to store your custom stylesheet. If you want to replace the default icon collection with your own custom icons, use that file path.
Custom stylesheets can be in:
wp-content/plugins/my-calendar-custom/styles/wp-content/plugins/my-calendar-custom/wp-content/themes/your-theme/csswp-content/themes/your-theme/
There are more details about PHP templating in the PHP templating documentation.

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