Scheduling and managing events using Outlook.com calendar
The File>Import & Export advice is for Office Outlook, the mail client you install on your PC. It has nothing to do with Outlook.com's calendar.
Log into your calendar and select Options gear>Options>Publish. Right-click the ICS URI and choose "Save target as". This will give you an ICS file you can import into another program, provided that program can import ICS files.