When you click on "Add this event to my calendar" your browser will download an ics file.
Microsoft Outlook: Download the file, then you may be able to click on "Save & Close" to save it to your calendar. If that doesn't work go into Outlook, click on the File tab, then on Open, then Import. Select "Import an iCalendar (.ic or vCalendar file (.vcs)" then click on Next. Find the .ics file and click on OK.
Google Calendar: download the file, then go into your calendar. On the right where it says "Other calendars" click on the arrow icon and then click on Import calendar. Click on Browse and select the .ics file, then click on Import.
Apple Calendar: download the file, then you can either drag it to Calendar or import the file by going to File > Import > Import and choosing the .ics file.