Is this any good - http://facility9.com/2009/04/23/populating-us-federal-holidays-in-a-calendar-table/

or -

http://sqlserver2000.databases.aspfaq.com/why-should-i-consider-using-an-auxiliary-calendar-table.html

We have a similar issue in the UK but it's only a 10 min job to crib it from a web site into a update script. But hang on, then it's a 4 month wait for the DBA's to run it.