Damn I love this movie. 
I agree with MGibson that Calqhoun was just impersonating the real Ives. When they first find Calqhoun, he’s stumbling around in the snow, so they revive him and he tells his story. Whenever Calqhoun says Col. Ives did something, he’s talking about himself.
Later on, when Boyd confronts Calqhoun after he’s returned to the fort, Calqhoun tells Boyd how he became a cannibal- he came to the American west looking for a cure for his tuberculosis. (Which historically, a lot of people actually did.) His Indian guide told him about the windigo legend- a man eats another man’s flesh and takes that man’s strength. (Actually, there are several versions of the windigo legend among northwestern tribes, but for the sake of discussion, we’ll just say the movie version is accurate.) Calqhoun says that he decided to try it, and the guide was the first person he ate. He was cured. So he decided to continue with his cannabalism.
At this point, the movie kinda glosses over what may have happened next, but my WAG is that Calqhoun decided to take over where his Indian guide left off and volunteer to lead people across the plains and mountains into California- a perfect oppurtunity to engage in his new-found lifestyle, since there would be no witnesses and no survivors.
After the expedition that ended in the cave, Calqhoun probably really did get lost in a snowstorm. Due to his windigo superpowers, he survived, and stumbled on a bunch of humans in the process. Great! Now he can make up any story he wants and lead his hapless prey back to his cave for a big feast.
What sort of confuses me is how he managed to get back to some form of civilization, impersonate Ives well enough to fool several military commanders, and then get himself appointed back to the fort he just left. Of course, if he couldn’t do that, there’d be no movie, but still, it’s a little puzzling.
I really liked this movie for a lot of reasons- it was different, quirky, and it threw in a lot of neat little bits of historical info and folklore. Plus, Robert Carlyle is one of my all-time favorite actors, although in my mind, he will always be Begbie. 