Several ways:
* Right-click on the event that will be your top event and choose "Add sub-event" or "Add blank sub-event" from the Add rollout menu.
* While your top event is highlighted, use the keyboard shortcuts (B) for a blank event, (S) for a regular sub event.
* If you have an already existing event you want to make into a sub-event, highlight it then drag it under the other event. You should see a black line with an arrow pointing inward, under the event.