Hi Tai,
Thanks for your interest. Events Calendar PRO has a feature called Venue pages, which link from events and show venue information as well as a list of events at that venue. You can see an example at our demo site, http://wpshindig.com/venue/the-tribal-lair/.
In the current version of PRO you can link directly to these venue pages via your WordPress custom menu builder. When we release Events Calendar PRO 3.0 later this spring, we will also release a separate filters plugin that will allow users to search events by venue and other criteria.
Cheers,
Leah