How to change color of iCal event, without changing the calendar.

I have my work Exchange calendar imported to iCal. When I want to change the color of an event in iCal, it actually changes the event to a differnet 'calendar' and therefore no longer shows up on my work calendar. This wouldn't be a problem, excpet my secretary can no longer see the event on my work calendar that shows up on her PC. So how can I change the color of 1 event, say to 'Important' or 'Must Attend', without changing the calendar?