I'm thinking there is a great void of import/export tools around MS Exchange. Perhaps I'll get to writing such tools and make myself some good money.
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Yes, the ical files are one per event. Importing them one-by-one into Outlook sounds terribly painful to me.
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Coming from the open source world full of wonderful free and useful tools I'm really regretting my decision to move to Exchange.
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But I'm hopeful that there's someone out there who'se done this sort of import in bulk from the command line, or developed a tool, that can ease my pain.