Hi, John.
Welcome to WordPress customizing.
Best practice for adding custom code (like to implement a PHP snippet to modify The Events Calendar) is to create a functionality plugin, unless it’s something specific to your theme, in which case best practice is to make sure you’re using a child theme, then add the customization to your child theme’s functions.php file.
An example location of where your theme’s functions.php file would be — either in SFTP or cPanel File Manager — should look something like this:
/wp-content/themes/twentysixteen/functions.php
Notice the “twentysixteen” theme name there… Your active theme’s directory name will be different, unless you’re using the Twenty Sixteen theme.
And you’ll need to follow the instructions in the link above to create your own child theme, such as:
/wp-content/themes/twentysixteen-child/functions.php
That’s the functions.php file you’d want to edit (if you’re going that route instead of using a functionality plugin, as linked above). You do not want to edit the parent theme’s functions.php file, or else your custom code will be overwritten when that theme receives an update.
I hope this information helps!