Not being an iCal/Calendar user, I can't offer any help with the basic problem you're trying to solve, but I think I can shed some light on the apparent discrepancy between the "Apply" that you see and the "Done" reported by alternaut and joemikeb.
You configure/edit your event alerts via Calendar's Get Info window, invoked by either selecting the event and choosing Get Info from the Edit menu (or typing Command-I), or by right-clicking or control-clicking the event and choosing Get Info from the contextual menu. When events are edited in the Get Info window, the rightmost button does indeed say "Apply."
I suspect alternaut and joemikeb are editing events by simply double-clicking on them. This opens a small window with basic event information and an Edit button, which when clicked expands the window to one which is almost identical to the Get Info window you're using. The only difference I can see, in fact, is the nomenclature on the buttons. When events are edited in this window, the rightmost button says "Done."
