Hi, I'm not really familiar with the Event Manager plugin ( except that it is running on one of the multi-site networks I'm managing where it takes a lot of memory usage per page request ;) ) but as far as I understand it, each event has its own post (actaully a custom post type).
Simply making links to these single events open in FancyBox is possible by editing the events list format. Do something like replacing the #_EVENTLINK tag with
<a href="#_EDITEVENTURL" class="fancybox-iframe" title="#_EVENTNAME" target="_blank">#_EVENTNAME</a>. This should make them open inside a FancyBox frame but... it would mean they will show as a complete new page with the usual header, menu and sidebars.
I suppose you would like to link to ONLY the event content... Correct?
As far as I understand it, the display of these posts can be taken control of by adding a template called single-event.php to your theme (am I correct?) which would allow you to remove the dispay of head/menu/sidebars etc. to prepare them for showing in a fancybox frame or even a regular popup.
Do you have experience in editing theme template files and have some knowledge about how WordPress templates work? If so, you should be able to make it work. If not, it might take a some studying on your part... You'll need to understand some basic PHP and know how templates are formed in WordPress.