As far as WiFi events go (witch most are now) you just need to make sure you can connect to Wifi and that you've unlocked your Mystery Gift option. http://bulbapedia.bulbagarden.net/wiki/Mystery_Gift
After that, you will be able to see it on your main screen. When an event is present, just click on the Mystery Gift option (in a WiFi area).
There are also store events, like Pichu, and those you walk into the store with your game and turn it on and (if you haven't unlocked Mystery Gift yet) it will come up with a message that allows you to then use it. The store will most likely have instructions at the counter as well.
I'm not sure about the actual "go to an actual event to get the pokemon's item" kind of events. I've never been to one.