An event is just a function call where you don't control when the call happens. The call, and more specifically, the return address for the call goes on the stack just like any other function call.
If you want the gritty details of how exception handling works, you'll need to know about Windows Structured Exception Handling (SEH), on which .NET exceptions are implemented. Matt Pietrek wrote what is probably the definitive primer on SEH outside of the Microsoft documentation. You can find it
here[
^].
Once you've read that, Chris Brumme has a really good write-up on the .NET exceptions implementation,
here[
^].
Oh, and to answer the question "How to ignore exceptions inside event handlers?," you can't.