Well, the difference between a state and event (SEP) holds true for mental states and mental events.
Events are essentially nebulous intervals of time associated with specific occurrences, facts, and might be seen as building blocks to narratives, which are a sequence of events. States, on the other had, are descriptions of affairs, and with mental states, are descriptions of what goes "on" in people's minds. They're not mutually exclusive. A state might be instantaneous, which is generally analogous to snap shot over events, or they might refer to a general mode of being, for instance, being in a depressive state of mind in which there is some imputed commonality to a sequence of experience over time. Psychology, for instance, has the concept of flow. Handy language to describe both are disposition and occurrence (SEP), a chapter out of Gilbert Ryle's The Concept of Mind.
I think the criterion that matters to differentiate, if one applies standard necessity and sufficiency criteria, is the concept of flow of time. That is, a mental event is a category of chronological description, where as a mental state is a property. That the mind notices or even perhaps constructs the flow of time, as Kant suggested means that there isn't a clear dividing line between events and states. Perhaps it's best to view events as discrete episodes of mental states; that is, mental events are occurrences in the disposition of the mind to participate in the flow of time. After all, the former presumes the flow of time and is dynamic conceptually, and the latter presumes some sort of functional or structural stasis. Approaches to describing mental states can vary by metaphysical presupposition. For instance, physicalists will describe phenomenological experience with neural correlates of consciousness, whereas phenomenologists will seek to strip the intellectual embellishments by bracketing.