How to install tmux from source?

The error tells you that you lack the header file event.h, it's probably part of libevent.

To be able to compile a program you will need to install all it's dependencies first (including headers, the -dev packages). In the tmux webpage they say that it depends on libevent and ncurses. So this command will likely install all that you need (not tested):

sudo apt-get install libevent-1.4 libevent-dev libncurses5-dev

But if you need to ask this you shouldn't probably be compiling things from source, unless you are doing it to learn, just for fun or just having a terrible day ;).