You cannot add holidays to the Microsoft Outlook 2002 calendar for the year 2006 or later.
This behavior is by design. Microsoft Outlook 2002 provides some of the more popular holidays, but only through to the end of the year 2005.
Microsoft has released an update for Microsoft Outlook 2002. This update provides holidays for the Outlook 2002 calendar for the year 2006 through the year 2012.