You can subscribe to the internet calendar within your Windows Live account. The calendar will show up as a separate calendar under Windows Live Calendar, and it will then by synced to your phone and show up as an integrated calendar on your device.
First, log into the NurseGrid web app at http://web.nursegrid.com, then enable calendar sharing by clicking "Options" near the top-right of your Calendar screen and scrolling down to toggle on the "Enable Calendar Sharing" switch. Copy "Your Calendar URL."
Log into your Windows Live account from the same computer, then select the calendar. Select the "Subscribe" option, found at the top of the calendar. On the next screen, paste the NurseGrid calendar URL you copied earlier. Once you've set up the subscription in your Windows Live account, the calendar will be synced to your phone and should show up in the phone's calendar.
You can toggle the calendar on and off by opening up the calendar hub and tapping the ... in the lower right corner of the screen. Find the subscribed calendar in the list of available calendars that are synced to the phone and tap the "ON/OFF" toggle button.