Double-click the file to open it, then click File>Move to Folder and specify
the calendar where it should go.

I tired this by making a calendar with three weeks of tasks and
appointments. When I tried to load the file into a test calendar not
the default, only the first days entry was imported.  
Outlook 2003

When I tried this, it only added the first calendar item to the Outlook
Calendar folder.  I have many apointments to add.  Is there a way to do the
entire .vcs at one time?

Thanks for all the feed back. I did find out a little curiousity while
experimenting with a .ics file that was generated from 2007. When I
import the file using the File >> Import in Outlook 2003. The multiple
events are loaded into the master calendar. Although this is not
exactly what I wanted I decided to isolate the events in a different
view, then select the events and copy them into a new calendar.

Not too efficient, but the next step is to see if this can be
automated. Never satisfied.