I took the time to find the more appropriate method this morning, the ability to execute a find with multiple regular expressions.
find . -type f \( -name "*.c*" -o -name "*.h*" \) -exec grep -l SetEvent {} \;
The above command will locate all header and implementation files (e.g. *.h, *.hpp, *.c, *.cpp...) and return a list of files that contain the SetEvent expression within them. Note the parenthesis are significant to ensure the or'd list is piped to the exec command, otherwise only the second extension list with run through the exec command.
Cheers.