In Microsoft Outlook, you can drag a certain calendar file (for example .ics) to one or more post storage files (.pst) to import the data to it. You will have to change the list and tweak it a little, but this workaround should work and essentially achieve ics to pst conversion.
Another way would be to use some of the dedicated utilities specially designed to import calendar / contacts data to Outlook files.Open ICS file Open PST file
A dedicated Outlook importer
An e-mail management tool distributed with Microsoft Office suite