How to get event Pokémon like Keldeo

You cannot transfer your Pokemon over using only one DS. You must use 2 separate units in order to transfer Pokemon from the 4th Generation games to the 5th Generation games.

Doing so if you have 2 DS units is fairly quick and simple, however. Go west out of the Black City (or White Forest if you're playing White Version) a bit to get to the Pokemon Transfer Lab. It will give you on-screen instructions on what to do with your other DS. You can choose to transfer Pokemon out of any of the boxes in the 4th Generation game, but not the party.

Then you have to play a little silly diverting mini-game. I've only transfered once, so I'm not sure what happens if you lose, but it is not a difficult game and it won't be difficult to win in short order.

Afterwards, all 6 Pokemon you chose are transfered to your box on the 5th Generation game. You can do this as many times as you like in quick succession (unlike transferring from 3rd Generation games to 4th Generation games).

Using the C-Gear's wireless function, you want to look for the Entralink. This will teleport you to a physical location in the game world that can only be accessed via the C-gear; it's counter-intuitive, but it's basically like the Underground from gen4. In this area, you'll have the option to catch pokemon befriended from the Dream World. This lets you capture them in whatever ball you want rather than being forced into using a standard pokeball. They're willing to be caught, it's not difficult.