I’m not sure about feeds, but for the main loop, just before the loop:
global $wp_query;
$args = array_merge( $wp_query->query, array( 'post_type' => array('post','event') ));
query_posts( $args );
The post type array should contain the name of all the post types you wish to appear.
Note however, that as far as WordPress is considered this is just a post – so it will be displayed in the order that the event was published, not when the event occurs.
Also, you will need to alter you theme to check (inside the loop) when the post is of post type ‘event’, so that you can format it differently (e.g. use the plug-in provided function to display dates, venue etc). Otherwise, it will be formated like the rest of your posts.