Make sure the sync calendar box under your iphone info tab is checked. If you are getting an error such as no supported calendar application can be found follow these steps...itunes will sync with windows calendar.
1) Exit iTunes
2) Exit Outlook
3) Control Panel
4) Add & remove programs
5) select ?Apple mobile device support?
6) Click ?Change?
7) Choose Repair
8) Relaunch iTunes. Should work now.
Good Luck!