There's a couple of ways to do it. The easiest is to enter your own. On the main tracker page, if you look under the big "Search" button next to the search box, there's a little red link that says "Enter your own exercise".
By clicking that, you have your own full entry form and can enter your calories burned there, time, etc.
On the Mileage tracker, you have to look under the "Optional Comments:" box on the right hand side of the entry form for a little paragraph and a red "click here" link that will let you enter your own calories burned.
Here's the full FAQ and tutorial: www.sparkpeople.com/community/help_answer.