What's Behind Event Raising?

Assalamualaikum,
Hello everybody

In this post I want to tell you about my confusion in event raising in .NET family language (I use C#). In most tutorial you may see this kind of way to raise event (this one is from msdn, but I changed the class name) :

        public class ArrayListWithChangedEvent : ArrayList
        {

            public event EventHandler Changed;

            protected virtual void OnChanged(EventArgs e)
            {
                if (Changed != null)
                {
                    Changed(this, e);
                }
            }

This one will be the method which call the method raising the event, it calls OnChanged (Please correct any of my misunderstanding :D ).

            public override int Add(object value)
            {
                int i = base.Add(value);

                OnChanged(EventArgs.Empty);

                return i;
            }

In the class which use an object of ArrayListWithChangedEvent , the method which handle the event is

            void list_Changed(object sender, EventArgs e)
            {
                Console.WriteLine("This is called when event fires");
            }

All right. What I am confused in is, sometimes or very often, we use buttons in our application, then, how to raise the Click event of the button? Does it checks every milliseconds if a button clicked (do polling) then they call the method Clicked(this, e), or it uses interrupt? If it uses interrupt, does somebody now how to use such an interrupt in C#? Hey. It will be very efficient if we can use such interrupt in our application than we have to do polling like in XNA, for example

 KeyboardState currentState = KeyboardState.GetState();
 If(currentState.IsKeyDown(Keys.A))
        {
 …

Right???

Correction and answer is really appreciated. Thank you very much.