I have done extensive research and it appears that this can't be done. A couple of people said you can email your .ics file to the iOS device, click on the file and you will be prompted to add the events to the calendar. But this process failed for me, and when I tried it a second time, I didn't get the "add all" option any more. I'm guessing the 4000 or so events were too much for the phone's processing and syncing capabilities. Anyway, Apple's failure to support a basic function like .ics import on Windows means that I won't be using iCloud anytime soon. It's too bad, because I would appreciate the ability to set a reminder on the desktop and have it work on the phone, which I can't do with my Gmail calendar.