In general, if your Event is stored in iPhoto, you need to back up your iPhoto Library. If you want an additional backup, you can export the original from iPhoto to a place you can find.
To backup an iMovie Project, the simplest way is TIme Machine.
You can also make a copy of your project using the COPY feature within iMovie. (This works for Events too if you store the Event in iMovie rather than in iPhoto.)
See here for details.