Press 2ND MATH to bring up the Math menu. Select "Calculus" and then "integrate." Enter the expression, the variable of integration, the lower limit, and the upper limit, separated by commas. Close the final paren and press ENTER or diamond ENTER.
For example, to calculate the integral from 0 to pi of sin(x) dx, you want
INT(sin(x),x,0,pi)
where INT is the integral sign and pi is the lower-case Greek pi.
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