Well, as far as I know, there's no direct way like that. But there is a workaround.

1. Create an event  in Sharepoint.
2. Open it. On the menu, you would find a button "Export Event".
3. Click this button. It will export the event in an icalendar (.ics) file.
4. Open the icalendar file, it will actually open a new outlook  event.
5. Save it in your outlook calendar.

Hope this helps.

When a user  (with Office 2003) views a calendar  event, they will see
an action to "Export Event" in the toolbar. Clicking this will
prompt the user to open or save an .ics file. Opening it will open
a calendar event  in Outlook. Once they save the event, it will be
added to their personal Outlook calendar.

Additionally, a user may "map" a calendar to their Outlook by
clicking the "Link to Outlook" option from a view of the calendar.
Then, from Outlook, they can drag events  from the SharePoint
calendar to their own. (This only works one way!)

Do your users  have Office 2003?