Hi!
So long as your theme supports regular WordPress nav menus you should be able to simply edit the relevant menu (via the Appearance > Menus admin screen) and add a custom link – which you can then drag and drop into the appropriate position.
In fact, there should be a list of event pages and a pre-crafted menu entry for the main events page itself available:
(If you’re not seeing that, though, please use the Screen Options pulldown at the top of that page and ensure Events is checked.)
Does that help?