For Outlook 2010 I used these steps:
1. From WePlay Calendar, select the "Subscribe to this calendar from Outlook, Google Calendar, or iCal" option at the bottom of the page, copy & paste the entire *.ics line
2. Start Outlook 2010 and change to Calendar view
3. Select "Open Calendar" drop down menu, choose "From Internet"
4. Paste in the *.ics line
5. Expand and Check the "Other Calendar" option and make sure the "WePlay" checkbox is marked

Hope this helps