This functionality requires that the Outlook "Address
Book Control Component" be installed. It is not normally installed
automatically. Read the following note by Microsoft:
The script that runs
when the user clicks Import Contacts requires an Address Book Control component
included with Outlook. By default, this component is not installed during
Outlook setup but is configured as Installed On First Use. When you deploy
Outlook, you might want to mark the Address Book Control component as Run From
My Computer, as explained in Chapter 4 of the Microsoft Office 2003 Editions
Resource Kit (Microsoft Press, 2003) under “Customizing Office Features and
Shortcuts,” so that it will already be installed locally when users want to
import Outlook data into a SharePoint contacts list.
For importing to
work properly, it is also important that your site URL has been added to your
trusted sites in IE. Doublecheck that this is the case.