Best answer by JimM
Events are a lot of different things. It's a vague term used to describe things that happen on a computer that a piece of code reacts to. Events are low-level things like "user moves the mouse" or "hardware device does something." When one of these things happens, multiple events fire off, during which various code segments act on that input, produce a result, and feed it back to the user somehow. It includes everything Tony mentioned above and a lot more.
Because WSA looks at your system on such a low level, it can detect threat actions based on what the events and event handlers are actually doing, in addition to noticing which files are good, bad, or unknown.
To your question, yes, that number reflects the number of events on your system. It seems like an enormous amount, and it is in a way, just numerically. But for every key I've pressed in writing this reply, I've generated an event. Every minor mouse movement, every click, and every individual action any background program is doing while I'm typing this, loosely represents at least one event. WSA shows you this figure to give you an accurate representation of what it's actually doing at all times, and how much stuff it's keeping tabs on in order to keep your computer safe. If you click View Details on that line, you can actually drill down further to see what those specific events are.
To your other question, no, it's not using many resources at all. At the very bottom of WSA is a grey line that shows exactly how many resources WSA is using. To illustrate what this will typically look like for most customers, I'll use my really old not-very-good test box as an example. This is a Pentium 4 2.8 running XP-32, clocking at 2.79mhz with 2GB of RAM on a 48.8 GB HD (not exactly glamorous to say the least). On this computer, WSA is using 0.15% of CPU and 0.004% of HD space. So while WSA inspects events at an incredibly low level, it does so by using barely any resources at all.
Let me know if you have any additional questions! :)