Configuring preferences and options in Outlook.com
This is what worked. Not right-clicking on the .ics file and selecting "open with", that did nothing. Emailing myself would have probably worked, but this is not a solution, but a workaround. Ok, this is also a workaround, but at least it uses the intended functionality.
The strange thing is that it says "Add calendar" which is not what I want to do, I just want to Add an appointment.