The stateless nature of HTTP does complicate event driven programming for the web, but not that much, as state or the perception of state is very easy to build. There are several event driven frameworks for the major web languages out there, one example for php is Prado, and every web platform with a capable application server.
On a more generic note, when moving from coding for the desktop to coding for the web or coding for mobile phones, you should be ready for a change of mentality. Several techniques that are essential to desktop apps are not so on another platform (medium, architecture) and vice versa. Every developer of every platform (m, a) likes and benefits from staying as close to the platform's (m, a) low level / core technologies and protocols. Events, although 100% possible and useful and some times completely necessary, are somewhat unnatural to back end web development.