I just bought a KORG Chromatic Tuner. (The CA-30)
When I play a note it says I`m playing a completly different one.
It does have a calibration button to change the Hz.
I play the alto sax.
What do I do to get it to work right?

It`s working fine- It tells you the note in concert pitch. for instance, when you play a G, it will tell you Bb.

I know that. However, there is a range of Hz around that note. It will still say I`m playing the right note but it might say I`m flat at one Hz value and sharp at another Hz setting.
What should I have it set at to get the correct reading?

It should be set at A=440, if I remember correctly.

Yes, set it to A 440.