I sync to both my gmail account by exchange and my work account outlook server by exchange and have never had problems. Its not a three way synch, everything syncs to the central server, thats the point of exchange. I've never dealt with .pst/.ost files.
I was just pointing out that depending on the OPs configuration, skimonkeys method is valid, while you had said it had nothing to do with outlook. I agree we don't know the Op's configuration and if its a home setup he's likely just using a local outlook calendar and then your method is the correct one, but its not the only one, again depending on setup.