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Do you mean in-game? If so, its under message options - select "when an historical event happens to another country" and "when an historical event with multiple choices happens to another country" and set them to " display in a message box"
Nowhere in the game. You have to go to your Europa Universalis 2 folder, then into DB folder, then EVENTS folder. There you´ll find the files for each country in the game that has events, sorted according to their abbrevation in the game, e.g. the major events of FRAnce are in the file major_fra.txt