The easiest and best way to do this, is to sign up for a Microsoft Account (you probably already have one, since your phone requires it for app purchases, etc).
Sign into http://www.outlook.com/ using the Microsoft Account you used to sync your phone. Click the / arrow next to Outlook and select "People" --
Then select "Import from file"
Then select your type of file (CSV, Outlook) and hit browse, then select "Import contacts"
In addition to getting your contacts synced to your phone, they also show up on the web, and if you get a new phone, you simply need to sign in with your Microsoft Account again and they'll be there.
On the flip side, if you have a bunch of contacts in your "People" app, you can export them from the Manage menu which will give you a nice CSV you can backup and take elsewhere if necessary --