Event handlers are stored in macro source files. That is, they have the .em extension. You can mix event and macro functions in the same file. Once you write an event handler, you should add it to the current project. You can add it to the Base project if you want the events to be handled regardless of the project. If Source Insight cannot find a given event handler, it is ignored. Source Insight searches in your project, the project symbol path, and the Base project.
It's important to remember that you must add the .em file to a project, or Source Insight will not invoke the event handlers in that file. This is to prevent event handlers from accidentally running just by opening a .em file with an event function in it.