Live Calendar - get the iCal (or *.ics file) URL
Open yout internet browser and go to your Live Calendar page (
http://calendar.live.com). Then select one of the calendars listed on the left side. Click on the selected one. Then you'll see the page with calendar settings.

Focus on the section called "Sharing" and click on "Edit sharing". On the next page choose "Share this calendar". Then you'll get some next options. The most common option is the "Send friends a view-only link...". Select that one. Then you have to click on "Get your calendar links" and you're almost done. You should see two links for ICS files now. Click on the first one (the link is called "Import into another calendar application") and you'll get your URL (in previous versions of the gadget you had to replace the webcal protocol with http, but this shouldn't be needed anymore).
HOW TO get the addres of built-in calendars (e. g. U.S. Holiday calendar)
Here are the instructions from Windows Live Calendar Technical Support:
"there is no iCal url or ICS file being generated for the standard birthday calendar. However, you can get the iCal url for US Holiday calendar by following the steps below:
1. Sign in to your account at: http://calendar.live.com/
2. Click the blue question mark logo on the right side of your calendar page and then click "Help."
3. Type "Holiday" on the "Search for:" box.
4. Under "FAQ," click "How do I import holiday and lunar calendar?"
5. Choose the "United States (English)" holiday. You will be prompted to a new page.
6. Click "Subscribe to this calendar" and you will be directed to the US Holiday calendar page.
7. In the US Holiday calendar page, click the "View ICS" link at the upper left page to see the url.
Notes:
- You may opt to view the US Holiday calendar by clicking on the "Subscibe to this calendar" link beside the printer icon.
- When you first use Windows Live Calendar, a holiday calendar for your country or region is automatically created if it is available."