Finally got it sorted - it was easy really. Download this file and double-click it - the item within (a TV show for 2003-09-25, 18:00-20:00 GMT+1) will be added to your iCal or Outlook calendar.
This can be used not just for exporting TV shows from listings sites, but also concerts, sporting events, birthdays or any other kind of single event that doesn't need a subscribable calendar.
Here's the contents of the file:
SUMMARY:South Park Episode 374: Cartman Has A Fat Ass