Building character means to improve your personality, temperament and mental nature, and, very often, unhappy events are the opportunities you can use to improve yourself and the way you handle those unhappy events. They make you stronger, better able to deal with disappointments in a gracious way with a positive attitude, lessons learned and be able to move on, stronger than you were before. "Building" in this case is much like building a house, brick by brick, each event, like a brick, making you stronger and more able to cope. Does this help?