Space and Time
What space and time are is a philosophical question and not a physical one. As physicists, what we need is a way to model them which yields useful predictions.
The most common model, although not the only one, fuses the concepts of space and time into a single entity called spacetime. Mathematically, this entity is a 4-dimensional manifold with some special properties. An -dimensional manifold is a set with certain properties. Once again, the question of what the elements of this set are is left to the philosophers - you can think of them as infinitesimally small drops of some aetheric substance if you like. What matters to us is describing how these elements behave. To this end, we have given them the rather unfortunate name of events.
NOTE
An event in spacetime has little to do with the definition of the word “event” given in most dictionaries. As such, you are better off just treating it as yet another term, severing any connections with your usual notion of what an event is.