Firefox, Safari & Internet Explorer: click on the "Save to calendar" link, which you can find by hovering over an event on the calendar. These browsers will automatically save the event to your calendar and open the event in Outlook.
Chrome: click on the "Save to calendar" link. Once the file has downloaded, click on the tiny arrow to the right of the file name in the download bar at the bottom of the browser window. Select the option to "Always Open Files of This Type." Once you've selected that option, Chrome will automatically add the event to your calendar and open the event in Outlook. You only have to do this once.