To establish a connection:
Your personal Outlook calendar will appear side-by-side with the newly connected SharePoint calendar. You can use the check box to the left of the calendar name to hide the calendar from the side-by-side view.
Once you have a SharePoint calendar connected to Outlook you can add or edit calendar events directly from within Outlook (if in SharePoint you have been assigned the appropriate permissions).
NOTE: If the event is changed on the SharePoint calendar, it will NOT be automatically updated on your personal calendar.