You can absolutly set it up in the calender. It is easier from an Outlook account though. If you have an Outlook account (if not, it is easy to set up and managing your calender alone is worth it).
1) In the upper left corner, select the drop down menu and click on "calander" on options.
2) Select the last day of the current month and when the option for the new appointment comes up, name it.
3) Select "view details" just beneath the calender name.
4) When the details comes up, select the drop down menu of "how often" and choose "monthly".
5) Highlight the bubble for menus beneath the date, which will have 2 drop down options.
6) Now, change the first drop down menu to "last", and the second one to "day of the month".
You can change any other aspect you want. Time, reminder, so on, so forth. When done, just click "Save" and you are ready. You may want to synch your phone to your Outlook account just to update it.
The options from the phone are not as detailed. You may only have the option to set up every date from the phone, so since Feb has 28 days, you may need to set it up for the 28th of each month to be sure. But the precedure is a little quicker- just select the last day (or the 28th, if that is the best date), name the alarm, select "more details", and select "occurs", and select the option. Then save.