If you want to add to your phone, here's what will pop-up after you click the download schedule button:

Click Add (75) at the top. The example above says (70) because 5 events were already added. Then choose the calendar you want it added to or create a new one.

If you to add to your desktop calendar, here’s what will pop-up after you click the download schedule button:

Click Yes here. And then you’ll be given the option to import to your existing calendar or create a new one:

If you decided to “open as new” then you will need to select this calendar under your assigned calendars in the calendar tab of Outlook: