If you are having trouble with a PC (with Outlook 2007 or 2010) and iCloud Calendar, try each of these steps, testing after each to see if the issue is resolved:
When enabling Calendars in the iCloud Control Panel, part of the setup process is to copy your Calendars data from the default Outlook ".pst" file to iCloud, and then remove the Calendars from the ".pst" file by placing them in the Deleted Items folder in Outlook. The Calendars data is then stored in the iCloud data set within Outlook so that changes can be pushed to and from Outlook by iCloud. Be sure you are looking for your data within the iCloud dataset within Outlook after enabling Calendars in the iCloud Control Panel. The deleted files can be seen by viewing Deleted Items within your Outlook Folder List. This is not iCloud removing your data; iCloud simply copies your data into the iCloud data set and then removes the local Calendars data by placing it in the Deleted Items folder.