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an event is when you click on something, and code is run right away
polling is when the application constantly checks if your mouse button is held down, and if it’s held down in a certain spot, code is run
do events really exist in computing, or is it all a layer built on polling?
This is a complicated question, and the answer depends on how far down you go (in abstraction layers) to answer it. Ultimately, your USB keyboard device is being polled once per millisecond by the computer to ask what keys are being held down. This information gets passed to the keyboard driver through a CPU interrupt when the USB device (in the computer) gets a packet of data from the keyboard. From then on, interrupts are used to pass the data from process to process (through the GUI framework) and eventually reach your application.
As Marc Cohen said in his answer, CPU interrupts are also raised to signal I/O completion. This is an example of something which has no polling until you get to the hardware level, where checks are performed (perhaps once per clock cycle? Someone with more experience with computer architecture should answer) to see if the event has taken place.