Schedule cron event from widget

wp_schedule_event takes a hook as parameter, not a function. Try:

wp_schedule_event(time(), 'daily', 'my_daily_event');

add_action('my_daily_event', array(&$this, 'my_widget_cron'));

if ( !wp_next_scheduled( 'my_daily_event' ) ) {
    wp_schedule_event(time(), 'hourly', 'my_daily_event')
}

If you remove the widget from the sidebar, the cron will still continue to run.
You can run the following code (outside of the widget class) to clear it:

if ( !is_active_widget('your_widget_callback_function') && wp_next_scheduled( 'my_daily_event' ) ) {
    wp_clear_scheduled_hook('my_daily_event');
}