I recently found myself with a couple hundred vCards I needed in Outlook 2007. Sadly, Outlook wants you to either import them individually or Save and Close each one. Thankfully, there's a workaround. I'm doing this with Vista and Office 2007. I don't have my XP/2003 setup in front of me right now, so I can't test it. But here's what you do:
1) Open Windows Contacts
2) Click Import
3) Select vCard (VCF file)
4) Select all the contacts to import, then click Open. Let it do its thing. OK. So, now they're in Windows Contacts, and Outlook know how to import contacts from here.
5) Switch to Outlook.
6) Choose File, then Import and Export.
7) Choose "Import Internet Mail and Addresses", then click OK
8) Select Outlook Express...or Windows Mail. Uncheck Import Mail.
9) Click Next.
10) Decide how you want to handle duplicates, then click Finish.
Voila!